The magnet will loss its magnetic property, but not due to oxidation.
The magnetic property comes from the alignment of the atoms. Every atom is a small magnet, if they are align randomly, you will see no magnetic property. If they align well, then you will see its magnetic property.
But the alignment will relax as time pass, if you watch the dramma on TVB, you may heard that there is a temperature, the Curie temperature. It is about 500 degree C for iron, which is material dependent. If the temperature is higher than it, the atoms will align randomly and lost the magnetic property.