Even the most acoustically transparent grille has some effect on the sound. But it's worth it in a lot of cases for aesthetics, prying hands of small children, animals, etc.

What I like to do is to fashion a grille that can be easily removed, so I can "have my cake and eat it too."

One really cool way to do that is to install neodymium magnets in the grille frame, and matching ones in the cabinet. Cover them with veneer or some other coating so you can't even tell they're there. That way, the speaker can be used with or without the grille.