Hi Harish ,
You can refer the below documentation to export the link in excel from the datagrid
https://community.mendix.com/link/space/app-development/questions/104397
Are you trying to export the data from datagrid ?
or
You can build a custom javaaction to create hyperlinks in excel sheet.
Refer the below documentation for reference java program
https://www.geeksforgeeks.org/how-to-create-hyperlink-in-spreadsheet-using-java/