DataGridDataExporter.as:

/**
_________________________________________________________________________________________________________________
DataGridDataExporter is a util-class to export DataGrid's data into different format.
@class DataGridDataExporter (public)
@author Abdul Qabiz (mail at abdulqabiz dot com)
@version 0.01 (2/8/2007)
@availability 9.0+
@usage

DataGridDataExporter.<staticMethod> (dataGridReference)

@example

var csvData:String = DataGridDataExporter.exportCSV (dg);

__________________________________________________________________________________________________________________
*/

package com.abdulqabiz.utils
{
import mx.controls.DataGrid;
import mx.controls.dataGridClasses.DataGridColumn;
import mx.collections.ArrayCollection;
import mx.collections.XMLListCollection;
import mx.collections.IList;
import mx.collections.IViewCursor;
import mx.collections.CursorBookmark;
public class DataGridDataExporter
{
public static function exportCSV(dg:DataGrid, csvSeparator:String="\t", lineSeparator:String="\n"):String
{
var data:String = "";
var columns:Array = dg.columns;
var columnCount:int = columns.length;
var column:DataGridColumn;
var header:String = "";
var headerGenerated:Boolean = false;
var dataProvider:Object = dg.dataProvider;
var rowCount:int = dataProvider.length;
var dp:Object = null;
var cursor:IViewCursor = dataProvider.createCursor ();
var j:int = 0;
//loop through rows
			while (!cursor.afterLast)
{
var obj:Object = null;
obj = cursor.current;
//loop through all columns for the row
				for(var k:int = 0; k < columnCount; k++)
{
column = columns[k];
//Exclude column data which is invisible (hidden)
					if(!column.visible)
{
continue;
}
data += "\""+ column.itemToLabel(obj)+ "\"";
if(k < (columnCount -1))
{
data += csvSeparator;
}
//generate header of CSV, only if it's not genereted yet
					if (!headerGenerated)
{
header += "\"" + column.headerText + "\"";
if (k < columnCount - 1)
{
header += csvSeparator;
}
}
}
headerGenerated = true;
if (j < (rowCount - 1))
{
data += lineSeparator;
}
j++;
cursor.moveNext ();
}
//set references to null:
			dataProvider = null;
columns = null;
column = null;
return (header + "\r\n" + data);
}
}
}

DataGridCSVExportExample.mxml:-

<?xml version="1.0"?>
<!-- DataGrid control example. -->
<mx:Application xmlns:mx="http://www.adobe.com/2006/mxml">
<mx:Script>
<![CDATA[
import com.abdulqabiz.utils.DataGridDataExporter;
private function exportCSV ():void
{
console.text = DataGridDataExporter.exportCSV (dg);
}
]]>
</mx:Script>
<mx:XMLList id="employees">
<employee>
<name>Christina Coenraets</name>
<phone>555-219-2270</phone>
<email>ccoenraets@fictitious.com</email>
<active>true</active>
</employee>
<employee>
<name>Joanne Wall</name>
<phone>555-219-2012</phone>
<email>jwall@fictitious.com</email>
<active>true</active>
</employee>
<employee>
<name>Maurice Smith</name>
<phone>555-219-2012</phone>
<email>maurice@fictitious.com</email>
<active>false</active>
</employee>
<employee>
<name>Mary Jones</name>
<phone>555-219-2000</phone>
<email>mjones@fictitious.com</email>
<active>true</active>
</employee>
</mx:XMLList>
<mx:Panel title="DataGrid Control Example" height="100%" width="100%"
paddingTop="10" paddingLeft="10" paddingRight="10">
<mx:Label width="100%" color="blue"
text="Select a row in the DataGrid control."/>
<mx:DataGrid id="dg" width="100%" height="100%" rowCount="5" dataProvider="{employees}">
<mx:columns>
<mx:DataGridColumn dataField="name" headerText="Name"/>
<mx:DataGridColumn dataField="phone" headerText="Phone"/>
<mx:DataGridColumn dataField="email" headerText="Email"/>
</mx:columns>
</mx:DataGrid>
<mx:Button label="Export CSV" click="exportCSV ()"/>
<mx:TextArea id="console" width="100%" height="100%" />
</mx:Panel>
</mx:Application>

Try this it will solve your problem