I can see your point since "chose" being feminine the logical deduction would be that "grand" should be "grande".
However, the expression "pas grand-chose " is always like that. Apparently in olden French it would have been spelt "grand'chose" which normally indicates there's a letter missing but in modern French we just accept the expression is "grand-chose" and don't bat an eyelid!
Hope this helps!
Cecile is correct. It's due to the Latin third-declension adjective grandis, which in Old French became the invariable adjective grant. In modern French the adjective was 'regularized' to grand/e, but the older form persists in a number of fixed expressions: grand-mère, grand-messe, grand-faim, grand-soif, grand-rue, and grand-chose of course.
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