An other possible solution:
for(Object it : set.toArray()) { /* Create a copy */
Integer element = (Integer)it;
if(element % 2 == 0)
set.remove(element);
}
Or:
Integer[] copy = new Integer[set.size()];
set.toArray(copy);
for(Integer element : copy) {
if(element % 2 == 0)
set.remove(element);
}