Pilot light out - propane tank empty
I'll flesh out my comment into an answer.  If this is a newer furnace, no gas will flow if the pilot light is out.  I don't have much experience with furnaces, so for all I know, they were always made like this.

I do have experience with water heaters.  When you light the pilot on your furnace, do you have to hold a button down for a long time while lighting to get the pilot to stay lit?  Or do you just have to turn on the gas and light it?

If you have to hold down a button, then the appliance has the safety feature that will cut off the gas when the pilot goes out.  Holding down the button bypasses the safety valve so some gas will come out and allow you to light the pilot.  Once lit the safety is disengaged.