Let's say that saying 'all my hats' implies that the set of hats is non empty, then you have the two following statements

    my-hats is not empty
    for every hat in my-hats, is-green(hat) is true

We know that the speaker always lies, so both statements must be false: my-hats must be empty, and it must be that it exists at least one hat in my-hat that is not green. This is a contradiction. So either the speaker or the puzzle is not consistent (and uninteresting), or the 'my-hats is not empty' is not a valid assumption.