DOC: Add whatsnew entry for setitem with NA in indexer

Author: pelagiavlas

doc/source/whatsnew/v3.0.0.rst

@@ -97,6 +97,8 @@ Notable bug fixes
 These are bug fixes that might have notable behavior changes.
 
 .. _whatsnew_300.notable_bug_fixes.groupby_unobs_and_na:
+- ``Index.__setitem__`` raises ``ValueError`` when integer indexers contain ``pd.NA``. (:gh:`61465`)
+
 
 Improved behavior in groupby for ``observed=False``
 ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^