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I have seen this example before. I actually do not blame the students at all for the following reasons (some taken from other comments)
1) They are thinking out loud, so seeing that some aspects points it could be heat conduction(after all that would be the typical reason for most temperature discrepancies withing an item) then they scream "heat conduction" as an invitation for closer look which is a valid (as pointed by other commentors) method of thinking
2) They are screaming the highest probable answer they can think of. Magic and heat conduction are not the same in that case. The students know they do not know the answer for sure and they basically going for the most probable cause that exist in their mind database and isnt that how a theory is initially theorized? after initial stating it get questioned and removed or confirmed
3) This is a physics class. It is assumed you do not know the answer so guessing is a valid way to learn because imagine in a different situation when it was NOT a trick question and the answer was actually heat conduction. The student who GUESSED heat conduction will feel the joy of being right and probably will remember that lesson better for the future since he will link it to a happy specific incident in the class. I think the student aim for that feeling and it is a good thing because I believe it helps them actually learn [need memory learning references]
4) They know (assume) the teacher knows the correct answer, and thus guessing wrong answers is not bad since no one will take their word for it and instead wait for the final correct answer by the teacher. There is no harm at all to guess and try to rationale through all of your theories. Stating the topic of those theories is a valid first step since that's how we usually solve any physics problem (e.g. to calculate the speed of falling ball, you need to recognize which equation you should investigate, should it be conservation of energy or the acceleration equations. Stating the title then investigating till proven right or wrong is a correct way to address this problem. Part of solving a problem is recognizing the telltales that direct you to the right equation, this case had a lot of telltales for heat conduction)
5) While this relates less, but i do not blame the students for not figuring out the right answer because its probability is pretty low. If they never got trick questions from this teacher, it seems a pretty unreasonable thing to assume from a physics teacher during class.
6) I would guess most of the students who would say "i dont know" FAST without exploring those wrong theories will be the lazy and uninterested students. it is equivalent to giving up and shutting down your rationale.
I am pretty confident if this happened to me i will be one of the students who keep trying theories and discussing them with others. I learned a LOT of physics concepts through discussing ideas with bunch of students who none knew the right answer. Many times we were able to reach the right answer after several wrong ones. I think in this situation this what the students were doing and I approve of it [sadly my approval means nothing :D].