It's common when a child is first separated from carers. If your grandson did not go to nursery, then it is a very big step, even bigger than for other kids who have already experienced this kind of setting.
My son is three and recently started preschool, attending just two afternoons a week. It took him several weeks to settle in. Even now he always has a lovely time and comes out smiling, yet makes a fuss about going in and being left. Things take time so try not to worry - it doesn't mean he'll always feel this way :)