Its strongly recommend not to export large amounts of data since there is a chance to encounter an exception (Timeout or OutOfMemory) if more than one user tries to export the same data simultaneously. RadGrid is not suitable for such scenarios and therefore we suggest that you limit the number of columns and rows.
Unfortunately there is little that can be done when trying to export large amounts of data. You should have in mind that when IgnorePaging is set to true, RadGrid instance will be bound to 5000+ records which is quite memory consuming. Exporting and storing such large amount of data in session variable will cause scalability problem.
I can suggest you either to consider decreasing the amount of data or export only the current page by setting the IgnorePaging option to 'false'.