For an arbitrary subset \(E\subset \mathbb {R}^n,\) we introduce and study the three vanishing subspaces of the Hölder space \(\dot{C}^{0,\omega }(E)\) consisting of those functions for which the ratio \(|f(x)-f(y)|/\omega (|x-y|)\) vanishes, when (1) \(|x-y|\rightarrow 0\) , (2) \(|x-y|\rightarrow \infty \) or (3) \(\min (|x|,|y|)\rightarrow \infty \) . We prove that the Whitney extension operator maps each of these vanishing subspaces from E to the corresponding vanishing spaces defined on the whole ambient space \(\mathbb {R}^n\) . In fact, this follows as the zeroth order special case of a more general problem involving higher order derivatives. As a consequence, we obtain complete characterizations of approximability of Hölder functions \(\dot{C}^{0,\omega }(E)\) by Lipschitz and boundedly supported functions.