Ah, things are quite the opposite :)

You have to set CFLAGS and LDFLAGS so that setup.py can find openssl headers and libraries from Homebrew. For example:

export CFLAGS="-I/usr/local/opt/openssl/include"
export LDFLAGS="-L/usr/local/opt/openssl/lib"

The reason for that is that Apple once shipped their forked OpenSSL in older Mac OS X versions, so Homebrew can't install OpenSSL headers and libraries to public paths (/usr/local/include & /usr/local/lib). On the other hand, CPython should not use paths in /usr/local/opt/ as it's internal details of Homebrew.