New Cozy Enclosed Front Console 70,000. Pilote goes out, gas stay

if you can re light unit all parts are good. if vented into a chimney or vent less than 3 feet out of roof can cause this.

do ya have strong flame on pilot if not blow out with air can if that dont work need new gas vavle

could a bad high limit switch on the heat exchanger .
or most likly a flame proofing switch in burner

Make sure the thermocouple is in the pilot flame,if it does not stay on after that,replace the regulator.

What kind of heater? is it a gas furnace?

The thermocouple needs to get red hot. If the pilot flame is too low or too high or if it is not pointed on the thermocouple well, it won't stay hot enough. If the pilot flame is too low, a draft caused by opening a door could blow it out. If correcting this doesn't fix it, it could be a bad thermocouple or control. The factory assembly on these heaters is not the best.

You might have a slight odor of gas when the burner first ignites. Some gas does escape before it completely ignites. It shouldn't smell after 2 years of use. If you can see the pilot flame burning from the top of the heater, the heater pilot assembly is pushed over too far. The pilot fumes could be escaping in the room and cause a smell.

Cozy cheapened their heaters awhile back doing away with the air shutter. Without the shutter, a little gas can seep out into the room before it ignites and cause an odor. As for the curing odor, can you see the pilot flame looking down from the top of the heater? The pilot should be well inside the exchanger out of view. If you can see it, fumes from the pilot are getting into the room causing an odor. I had to remove the plate that holds the pilot assembly and drill a new hole shifting the plate over where it belongs. It was poorly assembled at the factory. Hope this helps.

That piece that fell out is probably the pilot orifice. It goes on the end of the pilot gas line when you screw it into the pilot assembly. Don't try to light the heater without the orifice. If your thermocouple is good and the pilot flame is set properly, the control valve could be bad. Be sure to hold the knob down for 60 seconds before releasing it.

The pilot orifice could be dirty causing the pilot flame to be too small. Unscrew the pilot tube at the pilot assembly. The orifice is inside. Remove the orifice and blow it out with compressed air only. Reassemble and see if that fixes the problem. If the pilot flame is set too low, sometimes opening a door will cause a draft to blow out the pilot. If the thermocouple is good and the pilot flame is set properly, the control valve may be bad.