Copper technically is susceptible to magnetic forces but the effect is so weak that you can only observe it in very strong magnetic fields.

Pennies up until 1943 were made entirely of copper (until 1857 100%, then up to 1942 bronze alloys of copper and zinc). By 1943 however, copper was running in short supply (as its used for numerous wartime things including electrical wiring and shell casings) - the US Mint switched in 1943 to a penny that was zinc coated steel. Steel (an iron alloy) of course is highly magnetic.

In 1944, the mint started obtaining sources of copper recycled from war scrap (again, shell casing etc.) and the copper penny resumed.

Interestingly, there are some 1943 pennies that are NOT magnetic (still largely copper) and some 1944 pennies that ARE magnetic due to the previous year's blanks (called planchets) still in the feed hoppers.

https://en.wikipedia.org/wiki/Penny_(United_States_coin)

https://en.wikipedia.org/wiki/1943_steel_cent

Interestingly if you find one of the rare 1943 "still copper" pennies, it could be worth quite a bit.... $60,000 by this account.