There are only few substances like iron, nickel, cobalt with magnetic property. But in chemistry, when we take account of molecular orbital theory, we can find magnetic properties of every molecules. In general, presence of unpaired electrons indicates paramagnetic and otherwise, it is diamagnetic. That means every molecules and thus every substance have some magnetic property. But, we don't consider all to be magnetic material (even not all paramagnetic materials). What's the reason?
Strong forces are more important than weak ones. The strongly magnetic materials you mention can crystallize with all-atoms-aligned magnetic moments, which gives a relatively strong external field for a large object. That's called ferromagnetism, but as you point out, there's also diamagnetism and paramagnetism, which are NOT strongly-coupled across all atoms in a solid. There is also a state called antiferromagnetism (half the spins cancel the other half). So, one can deflect a stream of water (slightly) by holding a magnet alongside, because water is diamagnetic. It isn't very strongly diamagnetic, though. In gasses and most liquids or mixed materials, the small dipole moments of atoms don't (at room temperature) interact strongly enough to be ferromagnetic. Even ferromagnetic materials are prone to lose their magnetization at elevated temperatures (like melting, loss of magnetic ordering is a kind of phase change).