In Eclipse there is File|New|Android Icon Set...
How do I do the same in the Android Studio?
This isn't implemented yet in Android Studio; the bug to track it is at https://code.google.com/p/android/issues/detail?id=57062 . Others here have noted the links to web-based tools to edit icons. The icon generator in Eclipse ADT is actually ported from the same codebase, as is the icon editor in the new project/activity wizard in Android Studio, so the functionality is the same.