Dealing with a question initiated by Liu [Meromorphic functions sharing a set with applications to difference equations, J. Math. Anal. Appl., 2009], we have investigated the situation when a finite order entire function and its shift differential operator share two sets of small functions. Our result has improved and extended the results of Chen-Chen [Entire functions sharing sets of small functions with their difference operators or shifts, Math. Slovaca, 2013] and Cui-Chen [The conjecture on unity of meromorphic functions concerning their differences, J. Difference Equ. Appl., 2016]. We have exhibited several examples relevant to the content of the paper.