Use the getReference() method on entity manager. It will return the reference to your Department entity (just a lazy loadable proxy) for the pk passed as parameter. Use that reference to set in your employee object. This will not do a db select in case of hibernate JPA impl and I think it should be the same in other implementations.
Department dep = entityManager.getReference(Department.class, 44);
Employee emp = new Employee(); emp.setDepartement(dep);