Parade participants use "commercially manufactured, multicolored confetti, not shredded, homemade or printed paper of any kind in the parade," a Macy's spokesman says.
Some pieces of confetti found along the Thanksgiving Day Parade route were shredded police documents containing Social Security numbers and names of detectives, according to a published report.
The pieces of paper were found near Central Park West and West 65th Street during and after the parade Thursday, the New York Post reports.
One paradegoer told the newspaper the confetti had birth dates, addresses and Social Security numbers.
"At first I thought it might be documents from Macy's employees until I saw that there were detectives' name and information about crimes in there," said the paradegoer, Ethan Finkelstein of Manhattan. "This is really shocking."
One paper strip said "NCPD," referring to the Nassau County Police Department, and another appeared to list assignments, including one that read "Romney Motorcade," which may have referred to Romney's appearance at Hofstra University for the presidential debate last month, according to the Post.
A Post source told the newspaper the shredded documents likely came from Nassau Police headquarters.
"They have stuff that's supposed to be shredded and go to burn piles," the source said. "It sounds like some of it ended up where it wasn't supposed to be."
Nassau County Police Inspector Kenneth Lack told the Post the department was investigating.
It's not clear who was distributing the confetti. Macy's told the Post it "uses commercially manufactured, multicolored confetti, not shredded, homemade or printed paper of any kind in the parade."