Details of around 100,000 Morrison's employees have been stolen.
According to the firm, the information includes bank account details and has been published online and sent to a newspaper digitally.
The criminal inquiry into the theft is being led by West Yorkshire Police.
Detective Chief Inspector, Nick Wallen said: "We are aware of the situation and are supporting Morrisons and their investigation into these matters."
The company discovered the theft on Thursday after reporting a loss of £176m.
Morrisons said its initial investigation does not point to the work of an outside hacker. Guy Bunker, chief technical officer at cyber protection company Clearswift, said the security lapse at Morrison's proves organisations need to be aware of internal security threats.
He said: "It is a real problem. There are more challenges from within than without. People need to look at where they're spending their money and what they're spending on internal security protection.
"You can't ignore the enemy within."
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