It's usually said about a charge under a magnetic feild. The magnetic force goes perpendicular to the direction of motion of the charge(F=qv×B*). Work is done only if the force is applied along the direction of motion. So on a moving charge, magnetic force does no work.
Not sure how that plays on magnets though. Magnets are magnetic because electrons go in circles producing the feild, and it might be because electric feild comes in and do the work but it's not clear for me either
Gravity does no work on satellites or objects that go in circular orbits. The force is there but it does no work and hence no energy change/transfer. Work is defined based on energy change by work-energy theorem