Should I name and shame?

I made it to the final round with a company a couple of days ago, ultimately didn't get the offer. Today they sent an email asking for feedback on their interview process to my work email which I never gave them. So now my current employer potentially knows I am interviewing.

What can I do about this? How should I handle this conversation with my boss later today?

EDIT: you guys, I never gave them my work email. They guessed it, which, not that hard to guess, first initial + last name @ company, pretty standard. All prior communication was done with my personal email address.