Quick work around
Simply enclose the list within a new list, as done for col2 in the data frame below. The reason it works is that python takes the outer list (of lists) and converts it into a column as if it were containing normal scalar items, which is lists in our case and not normal scalars.
mydict={'col1':[1,2,3],'col2':[[1, 4], [2, 5], [3, 6]]}
data=pd.DataFrame(mydict)
data
col1 col2
0 1 [1, 4]
1 2 [2, 5]
2 3 [3, 6]