The aerodynamics are affected. You will reduce the amount of very high pressure air created by the closed grilles (and the rest of the front bumper/splitter design). This design forces the air under the car, from where it is diverted up into the wheel arches and cools the discs.
If you open the grilles you should fit special 'intake pipes' to re-create the high pressure airflow to the discs.
Just remember the eggheads at VW spend 1000's of man hours and the odd million on wind tunnel testing and computational fluid dynamics.