When we choose our own way (sin) we are saying to Jesus "I know you have given all, but its more important that I have my own way. You don't matter. And what's more, its embarrassing to have You hanging around. Someone might see us together."
To grieve the Holy Spirit is to treat Jesus like He doesn't matter. The Holy Spirit proclaims Christ, illuminates Christ and points everything to Christ. So to ignore Jesus Christ, grieves the Holy Spirit. When we sin, when we are ashamed of Christ, when we behave as if He isn't there, we are loudly proclaiming that Jesus doesn't matter.