A new study, released in February of 2017, where researchers magnetized dead and living cockroaches and exposed the cockroaches to a magnetic field about 100 times stronger than a fridge magnet for 20 minutes. Then then checked to see how long the insects remained magnetized: 50 hours for dead cockroaches, but only 50 minutes for living ones.
As it turns out: cockroaches, like birds, bees, dolphins and a host of other animals and bacteria can detect Earth's magnetic field. We know this because researchers have tested cockroaches in rotating magnetic fields, and used radio waves to successfully block possible magnetoreception, or their sense of Earth's magnetic field.
Nature evolved a number of ways for animals to sense the magnetic fields. Some animals, like honey bees, have little granules of iron in their abdomen; they literally have a gut feeling about where to go! Whereas others, like sharks and some birds, have what's called radical-pair sensors, essentially a chemical reaction creates a charged molecule that acts like a compass.
The researchers who did this experiment, think, because the decay of the magnetic field happened so much faster for the living cockroaches, they must be using a living chemical reaction to keep the magnetoreception going.
MIT Technology Review: The Curious Case of Cockroach Magnetization
Science Mag: Maverick scientist thinks he has discovered a magnetic sixth sense in humans
LiveScience: Dolphins Can Sense Magnets, Study Suggests