BOSTON (Reuters) - The attorneys general of Connecticut, Illinois and California are leading a multi-state probe into a data breach disclosed by retailer Home Depot Inc, a spokeswoman for Connecticut Attorney General George Jepsen said on Tuesday. "We have had initial contact with the company," said Jaclyn Falkowski, director of communications for Jepsen. "We would decline any further comment at this time." (Reporting by Jim Finkle; Editing by Chizu Nomiyama)