We propose a language-independent data-driven method to exhaustively extract bursty phrases of arbitrary forms (e.g., phrases other than simple noun phrases) from microblogs. The burst (i.e., the rapid increase of the occurrence) of a phrase causes the burst of overlapping N-grams including incomplete ones. In other words, bursty incomplete N-grams inevitably overlap bursty phrases. Thus, the proposed method performs the extraction of bursty phrases as the set cover problem in which all bursty N-grams are covered by a minimum set of bursty phrases. Experimental results using Japanese Twitter data showed that the proposed method outperformed word-based, noun phrase-based, and segmentation-based methods both in terms of accuracy and coverage.