Why does my pilot light go out when I release the pilot light knob?
Yes, either the thermocouple is going bad, it's not getting heated, or something is wrong with the controller. The most likely of those is that the thermocouple needs to be replaced. The button you press to light the pilot bypasses the thermocouple. When you release the button, the thermocouple ensures that unburned gas doesn't get released by shutting off the gas when it's not heated by the burning pilot light.