I guess you are asking about high-field magnets (a few T)?
In this case is probably refers to safety valves etc.
Most high field magnets are made from a superconductor (usually NbTi) that can carry very large currents. However, superconducting wires can only carry a certain amount of current (known as the critical current), if you exceed this limit the wire goes normal (i.e. becomes a normal metal); this is known as a "quench".
This can also happen if the superconductor warms up since the critical current decreases as you approach the critical temperature of the superconductor (and Jc goes to zero at Tc, obviously).
Most superconducting magnets are cooled using liquid helium. Now, the problem is of course that if you quench the magnet you suddenly have a LOT of current going through what is suddenly just a thin metal wire, i.e. the resistance is quite high ->It gets very hot very quickly which in turn heats the helium which vaporizes; 1l of liquid helium becomes about 700l of gas at 1 Bar meaning you suddenly have a LOT of gas that needs to go somewhere.
This is what happened at LHC recently .
Hence, overpressure valves are absolutely necessary on superconducting magnets. In addition to this there are usually copper or brass rods that "shorts" the magnet and can carry the current for a while if there is a quench; this way the magnet is de-energzied in a relatively safe manner.
All large magnets are quench tested when they are installed; an "uncontrolled" quench would be very dangerous and could result in an explosion.