In this study, Fe₃O₄-based composite magnetic nanoparticles were found to separate volatile compounds directly in the gas phase for the first time. The phenomenon of H₂Se sorption on the magnetic nanoparticles was studied in detail and applied for separation and preconcentration. The developed approach was applied for the determination of selenium in dietary supplement samples after microwave digestion by ETA-AAS as a proof-of-concept example.