Does it work in SAP GUI itself?
Can you look at the network traffic / console of your browser and see what happens during export?
SAP has special note 314568 concerning limitations of SAP-GUI for HTML. There, in particular, it is stated that:
Excel-Export available via "XML-export"
Other export options are not provided by the ALV framework in a Web environment
So use XML-export and paste its contents into Excel file.
PS Here is the old version of the above note, if you have no S-user.
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