Fr. Charles Bober of St. Kilian Parish in Cranberry Township actually spoke to this in the Pittsburgh Catholic in the June 19, 2015 edition. He was discussing the idea of our obligation to be people of integrity and the lack of boundaries in our world today which makes people feel that they are supposed to know everything about everybody.
Think about all that people tell online in forums like Facebook and Twitter, and in interviews, editorials, in the tabloids, and with reporting styles called "investigative" where grieving families are interrupted by reporters asking for their comments or where the lives of people accused of a crime are dug into and sifted through so that every fact and issue they ever experienced is laid bare to the world.
Fr. Bober said, " ' the people's right to know' seems to have become not only the chief value but the only value." He continued, saying, "While the 'right to know' is an important principle in our democracy, ... should we not also consider why a person needs to know something or how a matter is known and under what conditions the information was made known? .... From a theological point of view, the Catholic Church upholds the Ten Commandments' teaching about the error of 'bearing false witness.' The clear positive directive is that we should tell the truth. ... But, [must] every truth ... be shared? Are there any boundaries left?
"We know well that there are prohibitions against unlawful searches. So then, are there limits on one's privacy, and what are they? ...It seems that some think that if one feels the need for privacy there must be some secret, and secrets are bad, and so must be that person. How doe we distinguish secrecy from privacy, especially in a free society? does everyone who invokes the presumed right to privacy automatically become an evil-doer? does it mean that anyone who doesn't like living in a fish bowl is likely hiding something?"
He said that he thinks the "difference between secrecy and privacy lies in the relevance of the information to the welfare of the other. If withholding information from another places them in any danger (physical, psychological, emotional, or spiritual), then the information must be disclosed."
While I think he is mostly right in his thinking, I think I should expand a bit more to complete the answer to your specific question by discussing the virtue of prudence. Prudence, per the Catechism of the Catholic Church (CCC) paragraph 1806 is the "virtue that disposes practical reason to discern our true good in every circumstance and to choose the right means of achieving it;" Prudence sets the bar for applying our moral principles.
By praying for the help of the Holy Spirit for Prudence, we can gain prudence. In the meantime, I have been in your situation and am often stumped on my response. I strive to be kind, change the subject, and give very short answers when I don't want to share information. It is also ok to say that
this information is not public knowledge and you are not in a position to share it at this point.
I often figure that if the person is bold enough to ask for information which he/she has no need/right/reason to know, then I can be bold enough to say, it's none of your business - in a nicer way. Am I good at doing that? Not always; especially when the person is relentless and doesn't read between the lines! When that happens, I often extricate myself from the situation and get away from that person. If that person is a friend, that person, as a friend, should grant you the permission to NOT share the information. If not, I'd question whether it's time have a heart to heart talk about that character trait with that friend. If no changes happen, maybe it's time to get a new friend!
Hope this helped. Good luck!