In theory, everything you say is confidential. In reality, as the previous posters have all suggested, it isn't.
Made the mistake of thinking that what I told a counsellor was confidential - turns out it wasn't, and she got social services and the police involved. If you're a danger to yourself, or to someone else, or are in danger (be it from self-harm, sexual abuse or suicide) most will tell the authorities - which they should. Some won't though.
If it's something you don't want someone in specific knowing, it might be worth asking your counsellor what it'll take for him/her to go to a higher authority?