We know many things about it but this we do not know.
No, totally wrong. If there are some things we know and some things we do not, then magnetism falls into the category of things we know. If we know nothing, then the point is moot.
Why do we know about magnetism? Because we can describe everything about it in terms of more simple concepts, that are in themselves not magnetsim. We may or may not fully understand the more simple concepts, but that is not required for us to be able to claim that we understand magnetism. To argue otherwise would be to suggest we do not understand hammers because we have not yet gained a successful theory of qunatum gravity.
Magnetism is a 3d observer dependent phenomenon arising from the observer-independent nature of 4d electromagnetism which in turn arises from a breaking of the symmetry of an SU(2) gauge field in the early universe (as described by Son Goku above). If you started a thread requesting a tutorial on this subject (it is complex, difficult, and very mathematical) I am sure both Son Goku and I would put in some time to guide you through the subject.