With both wires of a differential signal going through a ferrite core, the magnetic field from the positive cycle of current from one of the wires is balanced by the equal value negative cycle of current from the other wire. Thus there is no net magnetic field (neglecting fringe effects) from the differential signal and the magnetic core has no effect on it.
Common-mode signals, on the other hand, have a net magnetic field since the AC cycle currents all flow in the same direction, so they will be attenuated by the ferrite core. Thus the core attenuates common-mode signals but passes differential signals without significant attenuation.