If the pilot was on (operational) you did not need to change the thermocouple but it does not hurt to have a new one at the beginning of the season. It sounds like the thermostat is sending a signal (you can here it clicking) You may have an electronic problem.
bigwheelingman is correct you need a service tech and especially if you are not that handy with reading a meter.
A tech should be able to help you.
