You are trying to create a gemset for the system ruby, which RVM has no control over.
You need to use
a ruby version before you create the gemset. I use 1.8.7 as an example here, but this will depend on which rubies you have installed.
rvm use 1.8.7
rvm gemset create foobar
Now you get:
$ rvm use 1.8.7
Using /Users/dougal/.rvm/gems/ruby-1.8.7-p334
$ rvm gemset create foobar
'foobar' gemset created (/Users/dougal/.rvm/gems/ruby-1.8.7-p334@foobar).
$ rvm gemset list
gemsets for ruby-1.8.7-p334 (found in /Users/dougal/.rvm/gems/ruby-1.8.7-p334)
foobar
global
rails3