If your furnace is working properly and the gas valve is working properly then there should be no danger when your pilot light goes out.
The thermocouple is there to sense if the pilot light it lit and when the thermocouple doesn't detect the heat from the pilot light then the thermocouple will shut the gas flow off to prevent gas leakage in your home or business.
That's why if your pilot light keeps going out it's most likely caused by a faulty thermocouple which needs to be replaced.