Gold nanoparticles currently elicit an intense and very broad research activity because of their peculiar properties. Be it in catalysis, optics, electronics, sensing or theranostics, new applications are found daily for these materials. Approximately a decade ago a report was published with magnetometry data showing that gold nanoparticles, most surprisingly, could also be magnetic, with features that the usual rules of magnetism were unable to explain. Many ensuing experimental papers confirmed this observation, although the reported magnetic behaviours showed a great variability, for unclear reasons. In this review, most of the experimental facts pertaining to "magnetic gold" are summarized. The various theories put forth for explaining this unexpected magnetism are presented and discussed. We show that despite much effort, a satisfying explanation is still lacking and that the field of hypotheses should perhaps be widened.