Employers do have a right to monitor your e-mail, website visits, computer files, telephone conversations and other communications made by using company property.
Understandably, employers have a vested interest in making sure that their sensitive information is not flying out the door and that their employees are being productive during the hours that the employer is paying them. Also, if an employer provides notice of the kinds of surveillance that will be used, employees are having a harder and harder time claiming some kind of right to privacy (although legislation preventing video surveillance of changing rooms is starting to gain traction).
However, depending on your state, there's an outside possibility that your situation could fall within a gray area (where an employer might have violated employee privacy rights) if the employer permits employees to make personal calls at work and you are doing so using your own telephone (cellphone).
Since state employee workplace privacy laws vary, make sure to consult with a local attorney who knows your area.