Magnetic fluid (MF) is a colloidal system consisting of ferromagnetic particles (magnetite) with a diameter of ~10 nm suspended in a dispersion medium of a carrier fluid (for example, kerosene). A distinctive feature of magnetic fluid is the fact that when an electric field is applied to it using two electrodes, thin layers consisting of close-packed particles of the dispersed phase are formed in the regions near the surface of both electrodes. These layers significantly affect the macroscopic properties of the colloidal system. In this work, the interpretation of the near-electrode layer is for the first time given as a new type of liquid membrane, in which the particles of the dispersed phase become charged with the opposite sign. On the basis of experimental studies, we propose a physicochemical mechanism of the autowave process in a cell with a magnetic fluid. It is based on the idea of oppositely recharging colloidal particles of magnetite in a liquid membrane. A mathematical model of an autowave process, which is described by a system of coupled partial differential equations of Nernst–Planck–Poisson and Navier–Stokes with appropriate boundary conditions, is proposed for the first time. One-dimensional, two-dimensional, and three-dimensional versions of the model are considered. The dependence of the frequency of concentration fluctuations on the stationary voltage between the electrodes was obtained, and the time of formation of a liquid membrane was estimated. Qualitative agreement between theoretical and experimental results has been established.