Per the PHB, I'd allow the teleporting enemy to take the character if he succeeded in a Strength check:
In this way he could teleport 3 while grabbing another character.
Also, some monsters that teleport specifically say they cannot teleport with grabbed enemies, which indicated to me that it is generally possible. I noticed this just the other day, and it struck me as an interesting thing. I'll edit this post if I find it again so that you can have an example.