I have been asked about a rumor of a collegue, what should I do? A colleague of mine (C1) from other University (U1) has asked me, by email, if another colleague (C2) from my University (U2) is moving from U2 to U1.

Should I tell to C2 about that rumor?
Or should I answer to C1 that I have no clue?

Of course, I do not have any idea of C2's plans but I have a closer relationship with him.
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.