The atoms in iron are basically all little magnets themselves, so a chunk of iron will be magnetic if all those little magnets are (mostly) lined up with each other. If they aren’t then they all point in different directions and cancel each other out.
So in a liquid all the atoms are moving around all the time, and they are being too jostled and shaken to line up, so liquid iron won’t be magnetic. In fact, [this happens before the iron even melts — even solids will have too much shaking from thermal energy to support magnetism if the temperature is high enough.](https://en.wikipedia.org/wiki/Curie_temperature)
You *can* kind of make a liquid magnet. First, if you *apply* a strong magnetic field to liquid metal you could (at least in principle) force all those little magnets to line up again. It’d take a super-strong field to do this in most cases, but theoretically it could be done if you had such a field. Of course, this would fall apart almost immediately after the external field went away.
Perhaps more practically, you can make a magnetic liquid-like thing by floating a bunch of little tiny solid magnets in a liquid. These are called “[ferrofluids](https://en.wikipedia.org/wiki/Ferrofluid)” and [they have super cool properties!](https://www.youtube.com/watch?v=5APHa7vscoI)
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