A grenade or big an explosion can create a "P-wave" which needs a medium to travel through. So in theory if a grenade did not have any shrapnel you would be able to survive near a grenade in space because there is no way the pressure wave can travel towards you.
It's actually the pressure wave that is created, along with the metal fragments called shrapnel.
With a grenade, it's mostly the shrapnel. Larger munitions use the pressure wave to kill.
Here's a video showing a pressure wave: