Fix with latest panda range index.

[trivialfis]

You can reproduce the error with test_pandas using pandas==1.3.2.

[codecov-commenter]

Codecov Report

Merging #7074 (1d3bec8) into master (1cd20ef) will decrease coverage by 0.12%.
The diff coverage is 100.00%.

@@            Coverage Diff             @@
##           master    #7074      +/-   ##
==========================================
- Coverage   81.73%   81.61%   -0.13%     
==========================================
  Files          13       13              
  Lines        3876     3899      +23     
==========================================
+ Hits         3168     3182      +14     
- Misses        708      717       +9     

Impacted Files	Coverage Δ
python-package/xgboost/data.py	63.29% <100.00%> (ø)
python-package/xgboost/core.py	81.54% <0.00%> (-0.53%)	⬇️

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