[jojohohanon]

Pilot lights are often designed so that the heat from the flame holds a bimetallic switch in the open position. Should the light go out, the bimetallic switch will shut as it cools.

[genter]

For water heaters and wall furnaces with a gas control valve, yes. For old stoves, they don't.

[K0balt]

TBF the amount of gas used in old style pilots is really tiny. I’m sure it’s possible to accumulate dangerous quantities somehow, perhaps in a sealed subterranean basement if using propane instead of natural gas.

Natural gas is mostly methane, which is lighter than air and easily escapes most structures.