There are numerous things that may make the pilot light on your furnace to not stay lit.
Gas boiler pilot light not staying on.
If the pilot light will not stay lit it needs to be fixed asap to supply heat to your home and for safety reasons.
However if you find that your gas fireplace or similar appliance has a pilot light that won t stay on even after consistently being fixed or relit one of these issues could be the reason.
An operational pilot light in your furnace means safety from the possibility of a gas leak.
When you release the button the flame should stay.
Ensure you only hold the switch down once the pilot light has ignited to reduce the chances of any gas accumulating again.
Ignite the flame with a long match while switching the knob to pilot hold it in the position for 35 seconds.
This can happen on excessively windy days or nights.
This is another fairly common issue related to a boiler not staying lit.
Once you have done this allow your furnace to cool down for at least 30 minutes so it is safe to open then open the hatch covering your pilot light and look inside.
A leak in the output duct of the furnace could cause air to blow into the area.