Repeat question - water heater pilot light won't stay lit?

I asked this question last week and am asking now with additional details.

The pilot light in my water heater will not stay lit. The thermocouple has been replaced. The water heater is in an enclosed crawl space - no drafts. The flexible gas line to the water heater has also been replaced. The gas furnace works fine, so it isn't a gas problem. My local Lowe's said that it can't be the thermostat (the box on the outside of the heater with the temperature button, etc.), so I'm scratching my head. On Friday I lit the pilot light and waited for it to finish heating the water. When the burner went off, so did the pilot light. At that point, I could relight the pilot light, but once the I let go of the pilot light button, the pilot light would go right out.

A new water heater is expensive, along with the expansion tank that is required and the permit to install which is also required in my county. I'd rather not replace the tank - especially since I'm not 100% confident that the problem originates with the water heater.

I'm not sure what to do next. I'm rather tired of having to crawl under the house every time we need hot water. If it's not the thermocouple, not the gas line, and the unit is venting okay, what could it be? Faulty replacement thermocouple? Should I take the new one back and try to exchange it?