It's due to the "depolarization" of the atoms within the steel...
Picture the internal structure like a series of short needle like crystals...
When aligned, all pointing the same way, the steel is magnetic. When disorganised, pointing in random directions, it's non-magnetic...
At the temperature in question the structure randomizes and so loses its magnetic properties...
This is one of the reasons stainless isn't magnetic, the added metals/elements, chromium, etc, disorganise the structure...