that would depend on the grounds on which the investigation was being carried out.
if its a matter of national security, then you wont be entitled.
if its connected to some kind of undercover criminal investigation where informing you at the time of the existence of the investigation would jeopardize the entire operation (even if you're not deemed to be a guilty party in said investigation), then I believe typically they will be granted an exception.
of course investigations by organisations such as the 5/6 have their own exemption (usually under the national security banner).
I am not a lawyer, my understanding is based on a layman's understanding of DPA + RIP acts and experience in dealing with them., please seak professional advice if you have a real concern etc yadaqyada yada