diff --git a/pandas/core/generic.py b/pandas/core/generic.py
index 8e18b65e80385..e7bc9e11ba94c 100644
--- a/pandas/core/generic.py
+++ b/pandas/core/generic.py
@@ -440,9 +440,14 @@ def _expand_axes(self, key):
 
         return new_axes
 
-    def set_axis(self, axis, labels):
+    def set_axis(self, axis, labels, inplace=True):
         """ public verson of axis assignment """
-        setattr(self, self._get_axis_name(axis), labels)
+        if inplace:
+          setattr(self, self._get_axis_name(axis), labels)
+        else:
+          obj = self.copy()
+          obj.set_axis(axis, labels, inplace=True)
+          return obj
 
     def _set_axis(self, axis, labels):
         self._data.set_axis(axis, labels)