Children don't automatically thank people for what they do; their world is limited, and they don't realize how much trouble or expense it takes to help them or give them a gift.
In other words, children have to be taught to express thanks and this apparently hasn't happened with your grandchildren. Perhaps gently asking their parents if they received the gift (since you hadn't heard from their children) might remind them to teach these courtesies. An ungrateful, self-centered child easily becomes an ungrateful, self-centered adult and now is the time for their parents to prevent this.
You don't say how old your grandchildren are, or if they live near you but whatever their situation, do all you can to keep in contact. Grandparenting isn't just a privilege it's also a responsibility. Ask God to help you be the best grandparents possible. When you call their parents, ask to speak to them also. E-mail them too from time to time, if you can. The Bible says, "Children's children are a crown to the aged" (Proverbs 17:6).
May this remind you also of an even greater responsibility we all have but often overlook. This is our responsibility to thank God for all His gifts to us and especially the gift of His Son for our salvation. Have you given your life to Him? Once we realize what Christ has done for us, we'll want to "give thanks in all circumstances" (1 Thessalonians 5:18).