Assuming you're referring to the sacrificial anode in your hot water tank, the reason the aluminum rod comes out relatively clean is because it's made of the same material as the water tank. Thus you have no sacrificial anode to speak of, and any debris you manage to flush out of the tank consists of particles from both the tank body & your aluminum rod.
On the chemical scale of activity i.e.,electronegativity, magnesium is more electronegative or active than aluminum, hence the reason it is used as the sacrificial anode in the water tank. This means that the magnesium anode will dissolve or corrode first, sacrificing itself instead of the walls of the aluminum tank. When you replace the magnesium rod with an aluminum one, you removed this sacrificial rod.
