A Heat & Glo fireplace might keep going out for several reasons. If the pilot light goes out, it could be due to a problem with the thermocouple, which senses the pilot flame and controls the gas flow. If the fireplace shuts down during operation, it might be overheating, which triggers an automatic safety shut-off. Issues with the venting system, such as blockages or damage, can also cause the fireplace to go out. If the problem persists, it's recommended to seek professional help.