The Indo-Czech pair lost 6-3, 3-6, 6-7(7) to Julian Knowle of Austria in the first round
The top seeds were shocked by Tommy Haas of Germany and Jurgen Melzer of Austria in the \nPilot Pen tournament.
Top seeded Roddick beat Austria's Jurgen Melzer while Grosjean scored over Nicolas Lapentti in the semi-finals of the U.S. Men's clay court championships.
Top seed Andy Roddick blasted his way into the last four with a 6-4, 6-1 victory over Peru's Luis Horna.
The Indo-Aussie pair was beaten by fifth seeds Wayne Black and Kevin Ulleytt of Zimbabwe 7-6(7-3), 6-3 in the quarter-finals.
Andy Roddick and Guillermo Coria raced into the fourth round with crushing victories.
The US Open champion gave the US a 2-0 lead over Austria on the opening day of their first-round Davis Cup World Group tie.
The Bhupathi-Melzer pair lose in straight sets to Argentine team of Diego Schwartzman and Horacio Zeballos.
The 32-year-old continued the form that has brought him 22 victories in 23 matches this year, to reach the final of the U.S. Clay Court Championships on Saturday.
Roger Federer made a winning return to competitive tennis after six months out of the game on Monday, thrilling a packed Rod Laver Arena as he beat qualifier Juergen Melzer 7-5, 3-6, 6-2, 6-2 to reach the Australian Open second round.
Rohan Bopanna and Daniel Nestor went through several anxious moments before making it to the second round, even as Mahesh Bhupathi and Jurgen Melzer failed to, in the men's doubles at the Australian Open, in Melbourne, on Thursday.
Yuki Bhambri enjoyed a fruitful day at the $100,000 Odlum Brown Vanopen as he reached the singles semi-final with a hard-fought win over Farrukh Dustov and also made his second consecutive doubles final at the Challenger level in Vancouver.
On a largely disappointing day for Indian tennis players, Leander Paes, Rohan Bopanna and Sania Mirza lost their respective doubles matches in the second round of the Australian Open, leaving the country's challenge restricted to the mixed doubles competition.
Serbia's Novak Djokovic is the top seed in the men's draw which includes five-times US Open champion and 17-times Grand Slam winner Roger Federer as seventh seed - his first time the Swiss has been placed outside the top three in a Grand Slam in over ten years.
A summary of sports events and persons who made news on Thursday
Third seed Rafael Nadal battled through mid-match cramps for more than an hour before he lurched into the third round of the Australian Open with a 6-2, 3-6, 6-7(2), 6-3, 7-5 victory over American qualifier Tim Smyzcek.
India's Leander Paes and Rohan Bopanna crashed out of the Japan Open following a straight set defeat against Ivan Dodig and Marcelo Melo, in Tokyo on Thursday.