I replaced the thermocoupling an its doing the same thing as before I replaced it the pilot light will light an it stays lit then I put thermostat an vacation turn to the on position the pilot stays on its when I move the thermostat to the warm position that when the burner flames come on an immediately everything including the pilot light goes out what is the possible solution???

Low gas pressure? Are there any other gas appliances in the house?

What is the make and model if the heater ? I would suspect it is a bad gas valve.

As above, what is the make and model? How old is the heater? has it been submerged in water? does it have an electric ignitor and flammable vapor ignition resistance? It is a high efficiency unit with an automatically controlled damper? Without more information we can't really eliminate possibilities at this point. Was there anything that led up to the heater not working? Are there other gas appliances that are still operating correctly?

I'd suspect a safety device. Maybe a flame rod, or fire eye. The thermocouple sees the pilot flame, and when he turns the unit on, something is looking for flame. When it doesn't see flame, it shuts the unit down.