I used  FilterMenu-OnClientShown event in rad grid and in the client function I set focus on the current selected li element  and the issue  resolved .
The code :
 FilterMenu-OnClientShown="FilterMenu_OnClientShown"

 function FilterMenu_OnClientShown(sender, eventArgs) {
                //$('.rmFocused').focus();
                $(sender._childListElement).find('.rmFocused').focus();//to maker get the selected li 
            }