It makes sense as there is "airspace" around the toast when it's in a toaster and both sides are heated at once. Grilling it may keep some moisture inside - I prefer grilled toast.
We don't have a toaster but I had some round my friends the other day and it was noticeably crunchier than my normal toast, I didn't know if it could be down to just the toaster/grill or if it was to do with the make and freshness of the bread.
I remember toasting bread on a fork over a coal fire. Nowadays the health police would probably hold up their hands in horror, but boy, did it taste good!
Our fork was a weird construction made of four strands of what looked like (maybe was) twisted fence wire that ended in four prongs. Did the job, though