No, compasses work just fine in the Bermuda Triangle.

The Bermuda Triangle is the triangular region of ocean bounded by Bermuda on the northeast, Puerto Rico on the southeast, and the southern tip of Florida on the west. Basically, it's the region of ocean north of the Caribbean.

Statistically speaking, no more ships/aircraft have disappeared or sank in the Bermuda Triangle than in any other region of ocean of comparable size. This isn't to say that it is or was safe (e.g. in the age of sail it was quite dangerous), just no more dangerous than the rest of the ocean.