Nested Loops Or Set Operations?

Is there any advantage to using Java's operations defined in sets or collections over inspecting in nested for-loops?

For example, suppose I want to keep items from one array that do not appear in another, I could do:

for( PrimitiveType prim_1 : someArray ){
for( PrimitiveType prim_2 : otherArray ){
if( prim_1 != prim_2){
///put in some return list
}
}
}

Or else I could do:

ArrayList<NotPrimitive> excludedElements =
new ArrayList(Arrays.asList(primitiveArrayToExclude));
for( PrimitiveType elem : someArray){
if( ! excludedElements.contains( elem ) {
//put in some return list
}
}

I personally see no improvement in legibility nor any reduction of error potential.....