how can I come out of loop once my condition was satisfied

Your code is correct, but to log an error only once you'll need to check the "if found" condition outside the loop, for example:

Dim row
row = -1
For i = 0 to GridObj.wRowCount
  If GridObj.wValue(i, ColumnName) = ColumnValue Then
    row = i
    Exit For
  End If
Next

If row >= 0 Then
  GridObj.ClickCell i, ColumnName
Else
  Log.Error "Not found"
End If

Or better yet, use FindRow instead of searching manually:

Dim row
row = GridObj.FindRow(ColumnName, ColumnValue)
If row >= 0 Then
  GridObj.ClickCell row, ColumnName
Else
  Log.Error "Not found"
End If