That is pretty normal behavior of most solids – hardly unique to iron particles. If you take a bunch of ice cubes melt them down and then freeze it, you’ll get a big piece of ice. There are some materials that in the presence of air, will burn before it melts. Others might sublimate from solid to gas and therefore not reform into one big block when cooled. Some chemical compounds will decompose into other compounds under heat.
Without reference, it is hard to know why you believe iron particles are different.
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