In order for the ComboBox to post back, I'd imagine it's set to AutoPostBack? If this affects the data on the GridView at all, then all events will fire. When a full postback is triggered (such as with the ComboBox set to AutoPostBack=true), every event with new data is fired.
You should look into the control lifecycle:
http://msdn.microsoft.com/en-us/library/aa719775(v=vs.71).aspx (this is just the msdn doc, it's not great, but it's a good starting point).
...You should also try and post some code with your question :) It's a little ambiguous what you're doing. What object are they both bound to? Or is the same dataset bound to both the GridView and ComboBox?
EDIT: This post might help a little: Two types of postback events