Trivia: Although the movie was almost a completely different story than the book, they did make reference to a scene in the book: when you see the guy in the beginning in the hospital, he has blood all over his face. The reason is because right before then he was talking about Quantum Foam and then went into convulsions, then started spewing up blood...gory, but a nice add in to let us know that the writers actually read the book.
Trivia: Timeline was filmed with no CGI. The battle scenes, time transport, etc, were all created through other filming techniques...although a few of the scenes are slightly computer enhanced.
Answer: Because you can never know what kind of influence the discovery of such a thing by the local people would have on any of those involved. The grenade was not supposed to get sent back, but since it exploded, not enough pieces are left for local people to wonder about them if ever they find some. That would not be the case for a full weapon.
Sereenie