I turn the knob to the pilot position and light up the pilot while holding the button down for about 30 seconds and release it. I then turn the knob to the ON position and all the burners light up. After a few seconds, the blower starts running and blows the pilot flame down and after 3 or 4 seconds, all the burners shut off as well as the blower. What could be causing this? I changed the thermostat sensor and cleaned the pilot gas line but it did not work. Thank you very much,

Sounds like you have a backdraft or possibly plughed or obstructed vent or a roll out issue. Air from the blower side should not be crossing into the combustion side otherwise you can have CO problems. The pilot going down trips the gas valve and no heat causes the blower on thermostat to shut the blower off. The process is logical, the reason is not.