Check the following:

See if your heater has a pilot gas adjustment valve. It should be on the gas control valve somewhere. Not all heaters have these. It will be a screw on the valve that can be turned.

Make sure the thermocouple sensing bulb is squarely in the pilot flame and also check that the fitting where the other end of the thermocouple connects to the main gas valve is tight.

Check the pilot gas orifice (where the pilot gas comes out) for carbon build up - you may need to remove the pilot gas line and thermocouple assembly to get to this. This problem is pretty common.

Check the gas pressure to the heater. Run the hot water in the dwelling until the hot water heater starts. Check the flame on the main burner and see what color it is - it should be blue with possibly some yellow-tipped flames. If not, there could be a problem with the gas pressure at the heater or venting. If the heater has a gas pressure regulator, it may be out of adjustment or defective.

Finally, and this isn't very common, the pilot light can be extinguished if there is a draft problem, usually associated with an issue with the flue pipe venting system for the heater or another nearby gas consuming appliance.

You could look at the gas valve the power unit where the thermocouple fits in to might be not holding the current from the thermocouple ,you would have to take millivolt reading of thermocouple. if that was wrong then that would be a new gas valve but i would try what was said above first by the first guy he is on the right track

Thermocouple has been replaced pilot light,lights but when system starts everything goes out and small pieces of glass have been found in combustion area