According to wikipedia there are 3 types of steel based on the crystal structure: austenitic, ferritic and martensitic. Austenitic steels are non-magnetic where 300 series stainless steels belong to. Ferritic steels have magnetic properties. But I didn't manage to find any information about martensitic steel magnetic properties.
In particular I am interested in stainless steel alloy 455. According to the data I have this steel is magnetic (though didn't manage to find the source of this data). But when I obtained a sample of this steel It appeared to be non-magnetic. This brings to possibilities: either my source is wrong or the sample I got is not steel 455.
Turned out that the samples I got were “accidentally” made of austenitic steel 304 instead of requested 455.
Any type of martensitic steel will be ferro magnetic. However the magnetic susceptibility may not be the same as that of a material like iron. This could make a sample look like it is not magnetic or very weakly magnetic when compared to a material with high magnetic susceptibility like iron. There is also the possibility that the sample has been worked in such a way that the magnetic susceptibility was reduced.
I would first make sure you are checking the sample with a strong magnet like a neodymium magnet. Otherwise, the manufacturer of the sample will know what has been done to the steel and how to best answer you question.
This is a precipitation hardening martensitic so will be ferromagnetic unless it has been mistreated. To anneal, it is quenched from high temperature and makes a soft martensite = ferromagnetic. It is then machined and/or cold formed . And then final heat-treatment is an age at roughly 1000 F when it will harden. There may be minor changes in ferromagnetic properties depending on condition but I expect it is always similar to conventional steel. I never worked with it but the high nickel - 9%, makes it prone to have retained austenitic ( very low ferromagentism) structure after quenching: If so, a sub zero cooling ( like dry ice and alcohol) may get it to transform to martensite.