Are some integrated circuits magnetically sensitive?
Hall effect and magnetometer chips are. As are GMR (giant magnetoresistance) chips. And isolators using inductive coupling. And probably others that don't come to mind at the moment. 

If you actually mean 'ferromagnetic', some have ferromagnetic leadframes and some don't. Probably there is some correlation with higher power density parts which may use a copper leadframe and are thus not very ferromagnetic. Many cheap leaded components use mild steel which is quite ferromagnetic. 

Even if the part is largely not ferromagnetic there may be metals such as nickel used in small quantities (for example a thin nickel barrier layer under gold plating) that will cause a noticable effect if you have a strong enough magnet.