Why does the pilot light go out when the furnace is running?
The pilot light worked fine before a tech came out.

The tech left with your furnace in an incorrect state - namely - he removed the filters.  

Furnaces are supposed to have filters.  That alone is enough reason to call him back.

Call him up, say, 'You left w/o replacing the filters and now the pilot lite is going out.  Get back here please, and fix it.'