I have been asked about a rumor of a collegue, what should I do?
If someone asks you in person: I would recommend you to say to your colleague that you have no clue about what he is talking about, immediately - even if you know your supervisor's plan. 

If someone asks you by email:
In this case it is easier. Just ignore it. 

Some supervisors share a lot of things with their students and I think that is better to assume everything as private. 

Since this rumour could have some professional consequence to your supervisor, I would alert him about that too.