Not only is that definitely illegal unless the tenant willingly vacated, but it's even illegal to kick a friend out of your house and change the locks if you've let them stay there for over 30 days. Technically anyone who is permitted to stay at your residence for 30+ days is a tenant, and is (legally) subject to the same eviction proceedings that you'd have to go through if you'd rented them the place and they refused to leave.

Your locks were changed because you willingly moved out. If you had refused to move out, it would have been completely illegal to change the locks until eviction proceedings had run their course in court.