The monster had simply grabbed me as per the usual grab rules. The next turn, with me still grabbed, he teleported as a move action (he had a move speed of teleport 6). Hope that clarifies the situation a bit.
Using the grab rules, a successful grab immobilizes the target.
Thus, the rules of grab, any specific rules in the monster's stat block, as well as ways to end an immobilize all come in to play here.
There is recognition of the grabbed target being able to escape a grab by using a teleport, but not much is said about the grabber teleporting.
But then there is the reference that if either the grabber or the target move out of the grabbers reach then the grab ends.
As a side point, if a mount teleports, it does not take its rider with it unless the specific mount's power says so.
Having said all that, i'm inclined to say that by the general rules, a grabber teleporting would infact not take the victim with it.
However, a) that specific creature's power description may have had an exception in it that allowed it to teleport like that (since several creatures, especially lurkers that grab have special exceptions that allow them to do extra things with a grabbed target), and b) I see nothing wrong with the DM saying that specific individual monster was able to do it because, frankly, it does make for a cool effect to grab someone and teleport away and still isn't terribly game breaking presuming it was just an encounter power rather than atwill.
(this is all just my opinion based on what i -remember- i may in fact be remembering something wrong in which case i reserve the right to amend my opinion later

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