Cap certainly seems to have gotten rid of the magnetic return for the shield after Avengers: Age of Ultron. Firstly, in the end fight scene of Captain America: Civil War we see the leather straps are back attached to the shield:
We also see that the magnetic strips on his forearms have been removed or hidden; considering the leather straps on the shield and that we see no usage of the feature it is almost certainly gone.
Click image to enlarge.
Then compare both Steve's gauntlets and his shield to the one we see in Avengers: Age of Ultron. Image from Marvel's Avengers: Age of Ultron: The Art of the Movie for ease; note it also mentions it is indeed magnetic:
"When Joss Whedon watched Captain America: The Winter Soldier - there's a scene in there where Cap kicks up his shield, and it attaches to his arm. The idea behind this image sort of inspired the idea of, 'What if there weren't any straps? What if it was attached magnetically?' It would not only offer an innovative visual, but also allow for different and new actions with the shield," Meinerding says. "We began conceptulizing this idea and came up with two magnetic connections on the back of his wrist and the back of his forearm that are actually visible on the costume. We also added a foldout handle so if you wanted to have him pick up or whirl the shield around in a new way, there's actually a metal handle that folds over one of the magnetic action points, as well."
So, why remove it?
Out of universe it seems it was removed at the same time the costume was simplified and made more realistic. The below applies to the colours and look of the costume but I wouldn't be surprised if it is the same reason why the magnetic strips were removed.
Head of Visual Development Ryan Meinerding has designed Captain America since the hero's initial appearance in Marvel's Captain America: The First Avenger. According to Meinerding, the evolution of Steve Rogers' look is based on both the preference of the director and nature of the story, "The Russo brothers have very specific taste in costumes, and usually that involves tactical and realistic design elements," Meinerding says. "The suit in Civil War is a simplified version of the Avengers: Age of Ultron costume. The Russos thought the costume was successful, but felt there were some design flourishes, like the white on the arms and the red detailing around the chest, that wouldn't necessarily be realistic in the more grounded film they wanted to make."
Marvel's Captain America: Civil War: The Art of the Movie
In universe Paul's answer covers the most likely reason: magnets attract other metal objects. In an empty forest the short, stronger magnetic burst would be fine as not too much else would come with it. In a crowded inhabited area there are lots of potential objects that would be attracted to the magnets at the same time as the shield, causing problems.