How are you trying to export?
If you use the default export button in datagrid, then what ever you show in the grid will be exported. For this, you might need a new attribute in entity ofcourse and then show it in the datagrid, so you can export.
Try ExcelExport appstore module. With custom template you can have custom data exported as excel, where you have more control of what has to be exported.
NOTE: Captions are not localized.