The OP has not provided enough information about the reasons why the colleague is leaving; the OPs position in the company, the size of the company, the impact of the guy leaving the company (good or bad), whether the guy would stay if a better offer was made....
I would say 9 times out of 10 the responses would be the same as my suggestion.
The cost of recruitment is high both financially and time wise. As a senior member of staff, I am sure that my boss would be upset if they found out afterwards that I knew someone was leaving and did not say.