This is not always true. There are many classes of meteorite which have little or no magnetic properties, although they're much less frequent finds. Equally, there are many magnetic terrestrial materials (both natural and man-made) which can be mistaken for meteorites. It's a useful test for narrowing down possible candidates for further testing and also for eliminating pseudo-meteorites in some cases. One thing you can always say about a specimen is that if it has significant visible metal but is non-magnetic then it won't be a meteorite.