We can take an example.

say there are 3 sets A, B, C such that A={1,2,3} , B={2,3,4}, C={3,4,5}

Associative property:

A-(B-C) = (A-B)-C?

L.H.S: A-(B-C) = {1,2,3} - ({2,3,4} - {3,4,5}) = {1,2,3} - {2} = {1,3}

R.H.S: (A-B)-C = ({1,2,3} - {2,3,4}) - {3,4,5} = {1} - {2,3,4} = {1}

L.H.S not equal to R.H.S. Hence, Set difference operator is not associative.