there are such a liquid called ferro fluids. you can look at videos of them and their interaction on youtube easy. just search ferro fluid. its kind of cool.
apparently it stains things pretty easy and will never come off the magnet
it is essentally a whole bunch of little ground up magnets in a liquid.
it forms the magnetic field that it is in.
kinda neat stuff.
i dont know whither it meets your "constituents does not get seperated" requirement.
Mercury is not going to be attracted to a magnet. Magnetic colloids (ferro fluids), as taylaron mentioned, are likely your best bet. Since the particles are nanoscale, they probably wouldn't settle or separate too much due to Brownian motion and such. Then again, I've never worked with the stuff.
I'm also curious - wouldn't each particle act as a dipole by itself? And how would that relate to the affect of a magnet? I think I recall seeing "spikey shapes" emerge from the fluid when exposed to a magnet.
there are millions of tiny magnets imbedded in this fluid, each one of them is attracted to the nearest field line produced by the magnet. those 'spikes' are their attempt to follow it. Its a great way to display magnetic field lines