If AJAX is enabled for the Grid and not using the Buil-in export buttons, but calling the ExportToExcel(), ExportToPdf(), ExportToWord(), ExportToCSV() methods from another control's event then AJAX must be disabled for that action, see Export from Ajaxified Grid
If that is not the case, please share the Grid markup declaration and the code logic used to export it. We will try to replicate the locally see what could be the cause.
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