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The objective of this work is to learn a compact embedding of a set of descriptors that is suitable for efficient retrieval and ranking, whilst maintaining discriminability of the individual descriptors. We focus on a specific example of this general problem -- that of retrieving images containing multiple faces from a large scale dataset of images. Here the set consists of the face descriptors in each image, and given a query for multiple identities, the goal is then to retrieve, in order, images which contain all the identities, all but one, \etc To this end, we make the following contributions: first, we propose a CNN architecture -- {\em SetNet} -- to achieve the objective: it learns face descriptors and their aggregation over a set to produce a compact fixed length descriptor designed for set retrieval, and the score of an image is a count of the number of identities that match the query; second, we show that this compact descriptor has minimal loss of discriminability up to two faces per image, and degrades slowly after that -- far exceeding a number of baselines; third, we explore the speed vs.\ retrieval quality trade-off for set retrieval using this compact descriptor; and, finally, we collect and annotate a large dataset of images containing various number of celebrities, which we use for evaluation and is publicly released.