OTTAWA -- Thousands of Canadians are being told that personal information about them held by the government has gone missing.

The federal privacy commissioner's office was notified earlier this month by Human Resources and Development Canada that the data had been lost.

About 5,000 people are believed to be affected and are receiving letters notifying them of the privacy breach and steps they need to take to protect themselves.

A spokeswoman for the privacy commissioner says it's too early to say whether a formal investigation into the incident will be launched.

But the commissioner's office is now working with HRSDC to try and figure out what happened.

The department handles a variety of files including pensions and old age security.