It rained confetti — and secrets — on last week’s Thanksgiving parade in New York. The traditional deluge of shredded paper over the Macy’s parade in Manhattan on Thursday turned out to include legible snippets of police files, including a mention of a motorcade used by Republican Mitt Romney.

Officers at the Nassau County Police Department on Long Island, where the files were traced back to, declined to give details Monday about how the parade became a charade.

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“We’re not really commenting any further,” a spokesman said.

Earlier, Nassau Police Inspector Kenneth Lack said he was “very concerned.”

“The department will be conducting an investigation into the matter, as well as reviewing procedures for the disposing of police documents.”

The New York Post reported pieces of paper tumbling down into the parade still had social security numbers, names of detectives, and details relating to Romney’s campaign motorcade.