Large Language Models for Code (LLMs4Code) have achieved strong performance in code generation, but recent studies reveal that they may memorize and leak sensitive information contained in training data, posing serious privacy risks. To address this gap, this work presents the first comprehensive empirical study on applying machine unlearning to mitigate sensitive information leakage in LLMs4Code. We first construct a dedicated benchmark that includes: (i) a synthetic forget set containing diverse forms of personal information, and (ii) a retain set designed to evaluate whether code-generation capability is preserved after unlearning. Using this benchmark, we systematically assess three representative unlearning algorithms (GA, GA+GD, GA+KL) across three widely used open-source LLMs4Code models (AIXCoder-7B, CodeLlama-7B, CodeQwen-7B). Experimental results demonstrate that machine unlearning can substantially reduce direct memorization-based leakage: on average, the direct leak rate drops by more than 50% while retaining about over 91% of the original code-generation performance. Moreover, by analyzing post-unlearning outputs, we uncover a consistent shift from direct to indirect leakage, revealing an underexplored vulnerability that persists even when the target data has been successfully forgotten. Our findings show that machine unlearning is a feasible and effective solution for enhancing privacy protection in LLMs4Code, while also highlighting the need for future techniques capable of mitigating both direct and indirect leakage simultaneously.