Don't know specifics on that material, but there are numerous materials that hold a magnetic field even after the field is terminated. This is called....residual magnetism.
Don't get me lying, but it has to do with the iron content, from what I remember from MT training. Alot of your higher carbon steels are hard to magnetize, but the are also hard to demagnetize.
Not sure what could be causing it. You can get a Gauss meter (measure magnetism) to check it when it arrives to find out if indeed it is magnetized from your supplier. Maybe possibly getting an electrical current passed thru it on your set up. Electrical current can cause a part to get magnetized also.