what is this electrical component in my thermocouple?

I have a 14 year old has water heater which i believe needs a new thermocouple. I can relight the pilot but it will not stay lit.

I’ve bought a new thermocouple, and I’m prepared to replace the old one, but I’m a bit hesitant due to the part picture here.

My new thermocouple doesn’t have this. Is it some sort of resistor? Would it be dangerous to install the new thermocouple without this piece?

Any advice is much appreciated.

Update: this is a closeup of the thing, it fell off