The difference is something to do with how much fat is released during cooking. Frying adds to the fat, even though the chicken is skinless, because of the oil. Grilling leaves less fat in the chicken than deep-frying or sauteeing does.
However, grilling on hot coals may not be completely healthy or safe. Scientists have made an alarming discovery regarding barbecued meat. Two chemicals form when we burn meat. Those carcinogens form in two ways: First when fat drips on the coals, flaring up and blackening the meat. The second type forms when you cook your meat at a very high temperature, say 270 degrees.
For a safer grilling process, move the coals to one side and cook in low temperatures. Another way is to use electric grills which will not burn food and still heat up the meat and grill it.