Writing an exploit is also not illegal.
Using the exploit is a problem.
If you tell your friend about a vulnerability, and he writes an exploit and then uses it to break into a retail chain and steal credit card numbers, then you have a problem. Not because finding the vulnerability is illegal, but because there is now a chain of evidence that might link you to something that is unambiguously illegal.
You won't be held liable for unwittingly enabling the crime; you'll be accused of sharing the vulnerability with the express purpose of enabling the crime (actually, maybe, technically, with the purpose of enabling any crime; conspiracy laws get weird). That intent will be something that needs to be proved in court.
That liability is still a stretch, doubly so if, the moment you find out that your friend is doing something crazy, you inform the authorities.