Sorry I thought that you had an int that you want to also be able to store whether it was set or not, i.e. nullable or not.
If you have a DataGridViewCell and you want to make it blank, but the cell type is an integer, you can't do this - there is no valid 'empty' integer. You'll need to change the cell type as well:
DataGridViewCell someCell;
someCell.ValueType = typeof(string);
someCell.Value = string.Empty;
Just be really careful - if you're databound to an int type then you should never get to the state where the int has just disappeared. If, for example, you want to make the value 0 look empty, then you can do this with custom formatting:
http://msdn.microsoft.com/en-us/library/system.windows.forms.datagridview.cellformatting.aspx[
^]
For example you can say that when the value is zero, it formats it as an empty string - this way the underlying data is still consistent.