As the other answers say, it is because they are using superconductive magnets.

When a superconductive material is cooled below its critical temperature (different for each substance and we'll ignore magnetic field limits) ALL electrical resistance is removed.

Above this critical temperature the material may have a low, but finite resistance. Given the amount of current required to create the high magnetic fields even a very small resistance will result the release of a considerable amount of heat energy--very likely resulting in significant damage.

MRI machines make use of superconductive magnets to generate huge magnetic fields as well. If even a small part of the superconducting magnet is heated above the critical temperature a magnetic quench can occur. The high current will greatly heat this section leading to larger areas being exposed to higher than critical temperature with them going non-superconducting, and so on. This is very bad. The machines are built with safe guards to shut down the machine as quickly as possible, but there'll be some very loud noises and potential damage.