protected void Page_Load(object sender, EventArgs e)
    {
        RadGrid1.HeaderContextMenu.ClickToOpen = true;
    }

<script>
    var original = Telerik.Web.UI.GridColumn.prototype._onContextMenuItemClicking;
    Telerik.Web.UI.GridColumn.prototype._onContextMenuItemClicking = function (sender, args) {
        original.call(this, sender, args);
                
        var item = args.get_item();
        var itemValue = item.get_value();
        if (itemValue == "FilterList" || itemValue == "FilterMenuContainer" ||
            itemValue == "AggregatesContainer" || itemValue == "FilterMenuParent" || itemValue == "ColumnsContainer" ||
            (Telerik.Web.UI.RadMenuItem.isInstanceOfType(item.get_parent()) && item.get_parent().get_value() == "ColumnsContainer")) {
            if (sender.get_clickToOpen()) {
                args.get_item().open();
            }
        }
    }
</script>