Heat can demagnetize an object. Magnets work by having all the atoms in a substance lined up the same direction, and heat causes them to move around and get out of alignment.
If you run into trouble with this, it might be best to cut a few lines at a time, wait for the magnet to cool down, and then make another cut. Or perhaps a heat sink (e.g., a slab of copper) underneath the magnet could help.
I’d expect this issue to come up most often when cutting small shapes (e.g., narrow strips)