Magnesium is a flammable metal and the smaller the magnesium particle the easier it is to ignite. The reason behind this is for it to combust its whole surface area has to be heated. Magnesium fires are very dangerous and can not be extinguished with water infact using water on a magnesium fire will cause a violent reaction , aggravate the fire and cause it to become very dangerous.
Burning magnesium puts out huge amounts of heat and when it comes into contact with water the reaction causes hydrogen ( an explosive gas)to be released from the water.
The video below illustrates this reaction.
What fire extinguisher to use for Magnesium
To extinguish magnesium and other metal fires you would need an extinguisher designed for metal fire
Special powder metal fire extinguishers