Can stainless fasteners be magnetic?

Yes, most common stainless steel G304 and G316 fasteners are "cold formed". During the cold working stage (forming the head, rolling the threads, etc) the fastener is subjected to high mechanical stresses. These stresses may cause the part to become slightly magnetic.

G410 and 550YU stainless steel is used for self-drillng screws due to its hardness. It is a magnetic stainless steel, hardened by heat treatment (which grades G304 and G316 cannot be). For this reason, it has excellent drilling properties – however G410 has lower corrosion resistance than G304 and G316 and should not be used in highly or even moderately corrosive environments or tea-staining will result.

G304 and G316 screws are not designed to self-drill into steel without a pilot hole.