The system works off of a thermocouple that is heated by the pilot. The thermocouple creates millivolts that magnetize a head behind the control knob. When you push in the knob the magnetized head behind the knob holds the gas valve open. So obviously the head is not being magnetized. First make sure that the pilot is not plugged and the flame is large enough to heat the thermocouple. Also sometimes you may need to hold the knob for several minutes before the pilot will stay on. Also patio heaters have a safety feature that will cut the millivolt circuit if the heater falls over. It is possible that this safety device is tripped or defective causing the pilot to not stay lit. Also check for any loose wires on the millivolt system.