diff --git a/bisect/37641.py b/bisect/37641.py
new file mode 100644
index 0000000000000..bfe12017bcd83
--- /dev/null
+++ b/bisect/37641.py
@@ -0,0 +1,20 @@
+import pandas as pd
+
+print(pd.__version__)
+
+
+arrays = [["val1", "val1", "val2"], ["val1", "val1", "val2"]]
+index = pd.MultiIndex.from_arrays(arrays, names=("idx1", "idx2"))
+
+s = pd.Series([1, 2, 3], index=index)
+
+res = s.groupby(["idx1", "idx2"], group_keys=False).rolling(1).mean()
+print(res)
+
+mi = pd.MultiIndex.from_tuples(
+    [("val1", "val1"), ("val1", "val1"), ("val2", "val2")], names=["idx1", "idx2"]
+)
+
+import pandas.testing as tm
+
+tm.assert_index_equal(res.index, mi)