(Another question, another answer.)
This works, but I don't think that it's the most idomatic way to do it - (you'll need to wait until the US wakes up to find out):
let s1 = seq [ 1; 2; 3; 4 ]
let s2 = seq [ 3; 4; 5; 6 ]
seq {
for a in s1 do
if not (Seq.exists (fun n -> n = a) s2) then
yield a
}