Entity Set Expansion (ESE) is a critical task aiming to expand entities of the target semantic class described by a small seed entity set. Most existing ESE methods are retrieval-based frameworks that need to extract the contextual features of entities and calculate the similarity between seed entities and candidate entities. To achieve the two purposes, they should iteratively traverse the corpus and the entity vocabulary provided in the datasets, resulting in poor efficiency and scalability. The experimental results indicate that the time consumed by the retrieval-based ESE methods increases linearly with entity vocabulary and corpus size. In this paper, we firstly propose a generative ESE framework, Generative Entity Set Expansion (GenExpan), which utilizes a generative pre-trained language model to accomplish ESE task. Specifically, a prefix tree is employed to guarantee the validity of entity generation, and automatically generated class names are adopted to guide the model to generate target entities. Moreover, we propose Knowledge Calibration and Generative Ranking to further bridge the gap between generic knowledge of the language model and the goal of ESE task. Experiments on publicly available datasets show that GenExpan is efficient and effective. For efficiency, expansion time consumed by GenExpan is independent of entity vocabulary and corpus size, and GenExpan achieves an average 600% speedup compared to strong baselines. For expansion performance, our framework outperforms previous state-of-the-art ESE methods.