Macy's Thanksgiving Day parade is making headlines for more than just whimsical balloons this year.

Confidential information from the Nassau County Police Department, including social security numbers and banking information for department employees, was found shredded among the confetti left on the street, PIX11 reported last week.

Ethan Finkelstein, a Tufts University freshman who was home for the holiday, saw the private information falling from the sky before deciding to pick up more confetti and investigate.

"There are phone numbers, addresses, more social security numbers, license plate numbers and then we find all these incident reports from police," Finkelstein told PIX11. "This is really shocking. It says, 'At 4:30 A.M. a pipe bomb was thrown at a house in the Kings Grant area.'"

The confetti even reportedly identifies undercover detectives by name.

The department told PIX11 it was "very concerned about this situation" and would be investigating thoroughly.

And Macy's told the station it uses "commercially manufactured, multicolor confetti, not shredded paper."

But Nassau's documents aren't the only police records that might be compromised. Hurricane Sandy might have compromised thousands of pending criminal cases >