Preheat your grill to 400 degrees F. If the chestnuts can fall through the cooking grate, place them in a grill topper (i.e. Grill Wok) or in a pie tin with holes punched in the bottom. Otherwise, place the chestnuts directly on the cooking grate. The cooking time is roughly 15 minutes, but watch them carefully to prevent burning. Chestnuts should be turned or tossed around on the grill every 5 minutes so that they cook evenly and the shells do not burn excessively.
This process works the same on both gas and charcoal grills. Just watch the temperature to keep it close to 400 degrees F.