The nervous system transmits signal electrically, so when we touch an electric wire, it interferes with our nervous system and we experience a shock. There is no such system in human body that directly operates on magnetic energy, so we do not experience a "magnetic shock" when we come close to a small magnet. The presence of very large magnetic fields may have severe affects on the body as explained in this stackexchange answer: Effects of a very large magnetic field on the human body.
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