they must do so for a reason, even if it is just to get the interviewee's reaction. If it is illegal, then it is illegal, but saying "none of your business" would be an undiplomatic way to respond. Turning it around, if I, as an interviewee, felt that a question asked to me was so out of line that I had to answer with those words, I would, in fact, be telling the interviewer to take his job and shove it. How I would react, as interviewer or interviewee, has nothing to do with legalities; it has to do with instantly establishing a go/no-go relationship in just a few seconds.
