Why is Scala’s immutable Set not covariant in its type?

Set is invariant in its type parameter because of the concept behind sets as functions. The following signatures should clarify things slightly:

trait Set[A] extends (A=>Boolean) {
  def apply(e: A): Boolean
}

If Set were covariant in A, the apply method would be unable to take a parameter of type A due to the contravariance of functions. Set could potentially be contravariant in A, but this too causes issues when you want to do things like this:

def elements: Iterable[A]

In short, the best solution is to keep things invariant, even for the immutable data structure. You’ll notice that immutable.Map is also invariant in one of its type parameters.