$ ansible --version
ansible 2.5.1
  config file = /home/ansible/ansible_devel/ansible.cfg
  configured module search path = [u'/home/ansible/.ansible/plugins/modules', u'/usr/share/ansible/plugins/modules']
  ansible python module location = /usr/lib/python2.7/site-packages/ansible
  executable location = /usr/bin/ansible
  python version = 2.7.13 (default, Jan 11 2017, 10:56:06) [GCC]

---
- hosts:
    - localhost
  become: false
  gather_facts: False
  roles:
  pre_tasks:
  tasks:

  - name: "Merge firewall variables"
    set_fact:
      my_list: |
        {%- if my_list is not defined -%}
        {%-   set tmp_my_list=[ 1 ] -%}
        {%- else -%}
        {%-   set tmp_my_list=my_list -%}
        {%- endif -%}
        {%- set dummy=tmp_my_list.append(item) -%}
        {{ tmp_my_list }}
    with_items:
        - a
        - b
        - c

  - debug: msg="{{ my_list }}"

$ ansible-playbook test6.yml

PLAY [localhost] ***************************************************************************************************************************************************************

TASK [Merge firewall variables] ************************************************************************************************************************************************
ok: [localhost] => (item=a)
ok: [localhost] => (item=b)
ok: [localhost] => (item=c)

TASK [debug] *******************************************************************************************************************************************************************
ok: [localhost] => {
    "msg": [
        1,
        "a",
        "b",
        "c"
    ]
}

PLAY RECAP *********************************************************************************************************************************************************************
localhost                  : ok=2    changed=0    unreachable=0    failed=0

$ ansible-playbook test6.yml


PLAY [localhost] ***************************************************************************************************************************************************************

TASK [Merge firewall variables] ************************************************************************************************************************************************
ok: [localhost] => (item=a)
ok: [localhost] => (item=b)
ok: [localhost] => (item=c)

TASK [debug] *******************************************************************************************************************************************************************
ok: [localhost] => {
    "msg": [
        1,
        "c"
    ]
}

PLAY RECAP *********************************************************************************************************************************************************************
localhost                  : ok=2    changed=0    unreachable=0    failed=0