Вы можете использовать Series.isin
:
# Boolean indexing.
# df = df.loc[~df.index.month.isin([12, 1, 2]), :] # For a copy.
df = df[~df.index.month.isin([12, 1, 2])]
# Equivalent code using df.drop.
df = df.drop(df.index[df.index.month.isin([12, 1, 2])])