Does electromagnetic shielding using conductor metal sheet enclosure attenuates magnetic field of the electromagnetic wave as well? If yes, what is the relation? I know it does attenuate electric field of the electromagnetic wave.
A (electric) conductive sheet does not shield the magnetic field at all.
If you use an iron/steel sheet, which has a high magnetic permeability then it would reduce the magnetic field (which prefers to stay inside the iron/steel rather than go back outside again ;-)
You can get the situation where the magnetic field is created by the electric current, and by careful arrangement of the conductors you keep it's field totally inside the outer one. Coaxial cable being one case in point.
If you are getting interference from a magnetic field it is normal to use a high permeativity shield (iron , steel, Mu metal) or to add a ferrite core around the electric cable (the go/return pair) so that there is minimal induction into the cable.
In what context do you need to know (e.g. 'homework', electronic noise rejection, large magnetic field rejection, etc.)?