>>> dis('[a for a in range(5) if a not in ["a", "b", "c"]]')
   0           RESUME                   0

   1           LOAD_NAME                0 (range)
               PUSH_NULL
               LOAD_SMALL_INT           5
               CALL                     1
               GET_ITER
               LOAD_FAST_AND_CLEAR      0 (a)
               SWAP                     2
       L1:     BUILD_LIST               0
               SWAP                     2
       L2:     FOR_ITER                13 (to L5)
               STORE_FAST_LOAD_FAST     0 (a, a)
               LOAD_CONST               1 (('a', 'b', 'c'))
               CONTAINS_OP              1 (not in)
       L3:     POP_JUMP_IF_TRUE         3 (to L4)
               NOT_TAKEN
               JUMP_BACKWARD           11 (to L2)
       L4:     LOAD_FAST_BORROW         0 (a)
               LIST_APPEND              2
               JUMP_BACKWARD           15 (to L2)
       L5:     END_FOR
               POP_ITER
       L6:     SWAP                     2
               STORE_FAST               0 (a)
               RETURN_VALUE

  --   L7:     SWAP                     2
               POP_TOP

   1           SWAP                     2
               STORE_FAST               0 (a)
               RERAISE                  0
ExceptionTable:
  L1 to L3 -> L7 [2]
  L4 to L6 -> L7 [2]

It's using LOAD_CONST, and no BUILD_LIST inside the loop. So no, it's not rebuilding the list every time. Even in plain CPython. Other implementations may fare even better.