Some do but it most likely doesn't! There are experiments where the bird's beaks had a local anesthesia applied and it had no effect on the bird's sense of orientation. Instead it seems like it's most likely something called cryptochrome in the eyes, where a quantum mechanism (radical pair reaction) might be taking place that could generate sense-able electrical signals. There is further evidence for this, like birds being unable to tell when a magnetic field is reversed 180° (which an iron-based compass should be able to), and their sense of direction being effectively turned off by very mild RF interference at the right frequency, which also wouldn't affect an iron compass.