A difference between nuclear and magnetic roughness in polycrystalline CoFe/TiZr multilayers was observed by polarized neutron reflectometry. We infer from the neutron data that (a) the thickness of hardly magnetized regions with roughness induced magnetic inhomogeneities at the interfaces of magnetic and non-magnetic layers is 0.55±0.02 nm and (b) the magnetic roughness is less than the nuclear (structural) roughness by 0.22±0.02 nm. The difference between nuclear and magnetic roughness is a new factor, which was not so far considered in theory of polarizing neutron coatings and which may play a significant role in defining their performance.