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Set-valued data is extremely important and widely used in sensor technology and application. Recently, privacy protection for set-valued data under differential privacy (DP) has become a research hotspot. However, the DP model assumes that the data center is trustworthy, consequently, increasingly attention has been paid to the application of the local differential privacy model (LDP) for set-valued data. Constrained by the local differential privacy model, most methods randomly respond to the subset of set-valued data, and the data collector conducts statistics on the received data. There are two main problems with this kind of method: one is that the utility function used in the random response loses too much information; the other is that the privacy protection of the set-valued data category is usually ignored. To solve these problems, this paper proposes a set-valued data collection method (SetLDP) based on the category hierarchy under the local differential privacy model. The core idea is to first make a random response to the existence of the category, continue to disturb the item count if the category exists, and finally randomly respond to a candidate itemset based on the new utility function. Theory analysis and experimental results show that the SetLDP can not only preserve more information, but also protect the category private information in set-valued data.