A similar question was asked and answered in the following support issue. There is a possible solution listed within the issue:

 

Currently exporting is not supported by the ASPxGrid. We are discussing to have this feature in a future release.

 

You can perhaps try other methods such as exporting directly from a dataset that binds to the ASPxGrid. Or better yet, you can try a reporting solution like our XtraReports which can export to multiple file types.

 

Thanks,