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Unfortunately, that is not illegal. The status of a work place investigation has no legal confidentiality attached to it. While it is certainly unprofessional to share the status of these sorts of investigations, there is no law specifically against it.
For this to be an illegal action, the supervisor would have to be making false statements concerning the investigation (like saying that they have proof you stole something, when that is not true), which would make the statements defamation of character. You could then sue for personal injury based on the damage to your reputation caused by the false statements.
It could also be illegal if the reason for sharing the information (which is not, in and of itself illegal) is really harassment based on your race, religion, gender, age or disability. An legal act can become illegal if it is used as a form of illegal harassment. You would approach the EEOC to have this issue investigated, if you have any reason to believe one of these factors to be the motivation for the sharing of the information.
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