What must be done if a furnace pilot light goes out frequently?

When a furnace pilot light goes out frequently, it indicates an issue with the thermocouple, which is a safety device that senses the pilot flame. If the thermocouple is malfunctioning, it might not detect the heat from the pilot flame properly, leading to the gas valve shutting off and extinguishing the pilot light. Inspecting and possibly replacing the thermocouple is essential in resolving this issue, as it ensures that the pilot light stays lit and that the furnace operates safely and efficiently.

The other options, while they may relate to furnace operation, do not directly address the pilot light issue. Checking the thermostat setting can be useful for other heating problems, cleaning the air filter is important for airflow and efficiency, and replacing the furnace is a significant step that is unnecessary if the problem can be resolved with a thermocouple replacement. Thus, inspecting and replacing the thermocouple is the most relevant and effective action to take when dealing with recurrent pilot light issues.