If you are uncomfortable answering any question from anyone, you can always tell them that.
From my experience in the US, it is common among close colleagues and friends to discuss salary. In fact, some (all?) states release salary information to the public. As a grad student, I have discussed professors' salaries with them on several occasions. But again, if you aren't comfortable with doing so then don't.
It probably isn't a big deal. Your advisor may just be genuinely curious or maybe he is looking out for you to make sure you are getting paid adequately. I can't imagine someone who invested so much into you as a student to do something bad with this knowledge.