Is applying for a new job protected conduct?

I currently work for a vendor service company where work is assigned on a daily basis. Work has been drying up lately and as such I have started to look for other employment. When I asked my manager for a day off for personal reasons he told me that I needed a better reason with only 2 days notice. I told him out of professional courtesy that I had a job interview. Since the day of my interview I have not had any work (its been about 2 weeks now.) Yesterday I had a phone conversation with my manager where he basically stated that since I was looking for other work that his loyalties have shifted away from me and he will be focusing on the employees that are loyal to him first. Also that in the event that I do not get this new job and I continue employment with my current position that he will continue to view me the same way. I have been a valuable and loyal employee for well over a year through good times and bad with this company. Basically I am asking is applying for a new job protected conduct and therefore grounds for filing with the EEOC?