Magnolia fruits are reddish and open to expose bright red-orange seeds in fall. The fruit is attractive to wildlife.  You may prune them off or leave them for wildlife. http://www.extension.umn.edu/yardandgarden/ygbriefs/h466magnolias.html  

Thank you very much for your response. It really helped and I have one more question -  which one (prune the fruits off or leave them) is better for the tree flower blooming next year?

Thank you,
Yihong

  The advantage of removing old flowers and is to prevent seed production.  Old flowers take energy from overall plant growth and can be a source of re-seeding. Deadheading should occur shortly after flowering.  It is difficult to know how much energy is saved when the fruits are pruned when they are almost mature.  The colorful fruits are an interesting fall characteristic of this shrub like tree.   Some sources mention collecting and saving the seed for plant propagation.  Finally birds  will eat the seed if the plants are not pruned.

Thank you so much for your response. Now I know what to do. We had flowers every year but this fall is the first time seeing the fruits. Thank you again.