If you have a charcoal grill and the bars on the grill grate are quite far apart, the asparagus spears can fall through into the coals below. In this case, you can place the asparagus at right angles to the direction of the bars. This will stop them falling through, but you may still lose one or two when moving and turning them.
Another great trick is to thread the cut end of each spear onto a BBQ skewer. If you fill the skewer with as many asparagus spears as possible, you can lift and turn them all in one go, by lifting the skewer, and you won’t lose any down the gaps in your grill. I’ve found that threading a second skewer through the asparagus, about an inch or two higher up than the first, knits them together better and makes turning them even easier.