For the same reason that cast iron is non-magnetic (well, it’s still technically magnetic, but much less so): The high temperatures they are subject to make their inner structure change, and that inner structure is what makes them magnetic in the first place.
As for what’s so special about this inner structure, think of each individual atom as its own tiny magnet (so with a north and south pole). A ferromagnetic material (such as Iron) has all of the atoms aligned with eachother (as in, all of the north poles are pointing in the same direction).
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