I believe the simplest thing to do is:
#assuming three sets
set1 = {1,2,3,4,5}
set2 = {2,3,8,9}
set3 = {2,10,11,12}
#intersection
set4 = set1 & set2 & set3
set4 will be the intersection of set1 , set2, set3 and will contain the value 2.
print(set4)
set([2])