Get column name which contains a specific value at any rows in python pandas

First, the reason for your error. With pd.DataFrame.query, as with regular comparisons, you need to surround strings with quotation marks. So this would work (notice the pair of " quotations):

response = input("input")

for i in df.columns:
    if not df.query(i + '=="' + str(response) + '"').empty:
        print(i)

inputAPPLE
A

Next, you can extract index and/or columns via pd.DataFrame.any. coldspeed's solution is fine here, I'm just going to show how similar syntax can be used to extract both row and column labels.

# columns
print(df.columns[(df == response).any(1)])
Index(['A'], dtype='object')

# rows
print(df.index[(df == response).any(0)])
Int64Index([0], dtype='int64')

Notice in both cases you get as your result Index objects. The code differs only in the property being extracted and in the axis parameter of pd.DataFrame.any.

isin/eq works for DataFrames, and you can 100% vectorize this:

df.columns[df.isin(['APPLE']).any()]  # df.isin([response])

Or,

df.columns[df.eq(response).any()]

Index(['A'], dtype='object')

And here's the roundabout way with DataFrame.eval and np.logical_or (were you to loop on columns):

df.columns[
    np.logical_or.reduce(
        [df.eval(f"{repr(response)} in {i}") for i in df]
)]
Index(['A'], dtype='object')