Brainstorming more on this and checked my shelf, I got a few more. If not difficult per se, I remember them at least as experimental or otherwise postmodern.

Pynchon short stories: https://en.wikipedia.org/wiki/Slow_Learner

Delilo has many short ones including some of his best: https://en.wikipedia.org/wiki/White_Noise_(novel), https://en.wikipedia.org/wiki/Americana_(novel)

Haddon's breakthrough: https://en.wikipedia.org/wiki/The_Curious_Incident_of_the_Do...

DFW's breakthrough (maybe pushing it on "short" though) https://en.wikipedia.org/wiki/The_Broom_of_the_System

Ludwig still the reigning champ of short/difficult: https://en.wikipedia.org/wiki/Tractatus_Logico-Philosophicus