Is there any material that is NOT conductive and IS magnetically attractive?

Yes, ferrite. According to page 8 of this brochure, Ferrite-NiZn has a resistivity of 10^4 Ohm·m. This is better than damp wood, at least. You can trade magnetic properties for resistivity by coating and embedding ferrite pellets in an insulator, as suggested in the comment above, but fashioning your own metamaterial will probably involve quite a bit of research and experimentation.