Magnesium reacts with a lot of things. Which is a bad thing.

It burns hot and bright too. I remember burning magnesium in science class back in high school. They don't do that any more due to liability issues. Poor kids.

Although, it appears that magnesium alloys are being used by some companies. Which makes sense from a chemical reaction standpoint. You wouldn't want your gun to light on fire after firing the first round after all.