Whenever the pilot light goes out, there is a problem with your furnace. The thermocouple is responsible for regulating the gas flow. If the ignition light goes out, the thermocouple should instantly stop the gas from flowing out. However, this will only occur if the thermocouple is working well.Ideally, you should not worry so much if the pilot light goes out when you are away from home. Chances are that the thermocouple will have stopped the gas from flowing. \
However, for purposes of assurance, it is important to countercheck just to confirm that the gas is locked. You do not want gas leaking into the room where the heater is located \