Glow Worm Economy Plus 40B Boiler Pilot Light Problem?

I have a Glow Worm Economy Plus 40B boiler. I have just had a new Thermocoupler fitted and for a few hours all was ok. Then the pilot light went out. I had to wait until next morning to re-ignite as after initially going out it would not ignite.
Next morning I turned thermo to zero then pushed in the Gas Valve and pressed the ignite switch and it ignited. I waited the 15-20 seconds then released the Gas Valve button and the pilot light went out. I can now ignite but as soon as I release the Gas Valve button the flame goes out.
Can anyone tell me why?