Fix AttributeError when groupby as_index=False on empty DataFrame
- [x] closes #35246
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Thanks @salem3358 for the PR. Can you add a release note to 1.1.0. even if this doesn't make the RC, since this fixes a regression we will be backporting if necessary. cc @TomAugspurger  Added a releases note. Merging on green.