User blog comment:Neetaku/Grisha Yeager is Alive/@comment-5774380-20150710193829

It was pointed out by a user that the fact that Grisha's lower body dissapeared was because the corpses of Titan Shifters vanish in the air like Titans' corpses.

Since the back of the nape is the weak point of both Shifters and Titans, and Eren bit off Grisha's spinal cord in order to gain the Coordinate, I think is pretty sure to assume that he died because of that.