The above code normally must give zero value in the difference field 'val_diff'

to achieve your request

I have to set a field that compute the difference between the old and the new value of a float field

I suggest the following solution instead of the one defined above,

@api.one
@api.depends('val','old_val') 
def _computediff(self): 
    self.val_diff= self.val-self.old_val

val=fields.Float(string='val') 
old_val=fields.Float(string='Old Value') 
val_diff= fields.Float(string='val diff',compute='_computediff', readonly=True)

the old_val field should be updated in the write method as follows

def write(self,cr,uid,ids,vals,context=None):
    ....
    """before calling the super(<your_class_name>,self).write(cr,uid,ids,vals,context), 
        gt the old_val field from the persistent database """
    o = self.pool.get('your_class_name').browse(cr,uid,ids[0])
    vals['old_val'] = o.val
    ...
    res = super(<your_class_name>,self).write(cr,uid,ids,vals,context)
    return res

you have to set the initial value of the field 'old_val' to be 0.0, this will be updated in the create method so you are sure that the _computediff will work correctly

I replaced the @api.multi with @api.one based on this link, check Computed fields and default values

 Note :I used in the openERP 7 notation for the write method