If you upgrade to Mendix 9, this will be possible with the Data Grid 2 widget. It allows your users to not only hide columns while looking at the data grid, but also to have those preferences saved between sessions.
More info on data grid 2:
In version 8.5, you will need to build this as custom feature by
However, best is to upgrade as suggested by Eline and use DataGrid2
Hi, Can we set conditional visibility on data grid 2 columns?