In order for large scale magnetic fields to form from a material, you have to align the magnetic fields of the atoms so that they add together instead of cancelling out when oriented randomly.
Liquid iron is paramagnetic, which means you can produce a magnetic field from it in the presence of an external magnetic field (it can nudge enough atoms into alignment to add to the external field), but once removed due to the fluidity and temperature (remember that at atomic scales, temperature = movement) that alignment collapses and randomness/cancelling out wins.
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