The motion of an active (self-propelling) particle with a permanent magnetic moment under the action of a rotating magnetic field is considered. We show that below a critical frequency of the external field the trajectory of a particle is a circle. For frequencies slightly above the critical point the particle moves on an approximately circular trajectory and from time to time jumps to another region of space. Symmetry of the particle trajectory depends on the commensurability of the field period and the period of the orientational motion of the particle. We also show how our results can be used to study the properties of naturally occurring active magnetic particles, so-called magnetotactic bacteria.