Iron exists in many different crystal structures in different kinds of steels. Some of these forms are magnetic, others are not. When you work the metal, such as by bending it, you can cause it to change from one structure to another.

304 is an austenitic stainless steel, and austenite is non-magnetic. But when it's cold worked, it turns into martensite, which is harder and magnetic. If you anneal it by heating it and letting it cool, it turns back into austenite.