Why? The ChatGPT interface is not integrated with an editor and not really tailored for writing. I'd wager that most of the current Grammarly users would rather pay for a tailored tool than a chat window that excels at schooling you and refusing to do anything that doesn't align with OpenAI's sprawling brand safety rules.
Of course, GPT-4 can be molded into an editing-centric companion, but I bet Grammarly is already working on that, and they might end up paying OpenAI for the technology.
Brand recognition means that it's a lot easier for Grammarly to build that product than for a random third party to break through.