Oxygen is Paramagnetic, this means it becomes magnetic when it is present in a magnetic field and attracted to it. All the other gases in the air, Nitrogen and Argon are Diamagnetic they become magnetic when they're in a magnetic field but are repelled by it.
The main component of air, nitrogen is slightly repelled by magnetic fields. But oxygen is attracted by Magnetic fields; all the gases in the air react to magnetic fields.
Source : The Periodic Table by Tom Jackson