Why does my nat gas furnace pilot light stay lit at normat temp setting, but goes out when I bump the temp up a couple degrees?
This is a tough one without being there to see it.... The only thing that I can come up with is that you have a 2 stage or modulating gas valve and that when you have your thermostat set at a constant temperature your furnace is only operating on the 1st stage gas flow, but when you bump the setpoint on your thermostat up to a higher setting then the 2nd stage or higher modulation is called for and therefor a higher gas pressure is admitted to the main burners.
This second stage pressure may be set incorrectly (too high) and causing the pilot flame to be pulled away from the thermocouple during the heating cycle which will cause the pilot thermocouple to cool off enough to cause the pilot safety to shut down the main gas valve and pilot burner. One other thing could be that if you do have a 2 stage or modulating gas valve and the main burner is shut off before the gas pressure is stepped down to the first stage then the sudden main burner shut down could cause turbulence and be snuffing out the pilot at the end of the cycle. This shut down could be from numerous things like a high temperature limit or other safety device shutting down the main burner while it is in the higher stage burn.