We study static magnetic susceptibility chi (T, mu ) in SU(2) lattice gauge theory with N_f = 2 light flavours of dynamical fermions at finite chemical potential mu . Using linear response theory we find that SU(2) gauge theory exhibits paramagnetic behavior in both the high-temperature deconfined regime and the low-temperature confining regime. Paramagnetic response becomes stronger at higher temperatures and larger values of the chemical potential. For our range of temperatures 0.727 le T/T_c le 2.67, the first coefficient of the expansion of chi left( T, mu right) in even powers of mu /T around mu =0 is close to that of free quarks and lies in the range (2, ldots , 5) cdot 10^{-3}. The strongest paramagnetic response is found in the diquark condensation phase at mu >mpi /2.