Why won't a magnet rust?

No. Rust is a compound of iron, and magnesium is not iron so it cannot rust. Magnesium is however a very reactive metal and it can corrode in the presence of oxygen and water. In fact when you look at a piece of magnesium you are probably really looking at the thin, dull layer of magnesium oxide which coats its surface. If you scrape the oxide off the surface you will see the bright magnesium metal beneath only very briefly because the metal reacts quickly with the oxygen in the air and the oxide re-forms. Many other metals behave in a similar way. You can prevent this reaction from taking place by cleaning the oxide off while the metal is submerged under a relatively unreactive liquid such as oil. Don't use water!