If by "pilot light" you mean a glow plug, that only lights until the flame ignites.
On my furnace, if the flame detector doesn't detect a flame during turn-on it will shut off the gas momentarily and then attempt to restart the furnace a few times. After that it locks out and you have to reset (power down) the furnace to get it to restart. I found this out when my flame detector became dirty and the furnace became erratic in it's startup. A simple cleaning of the flame detector probe solved the problem.