Heat grill to medium-high. Once it's hot, clean the grill grate with a wire brush.
Brush the corn with the oil and season each piece with 1/8 teaspoon each salt and pepper. Grill, turning occasionally, until the kernels are crisp-tender and lightly browned, 10 to 12 minutes.
Transfer the corn to a platter and brush with the mayonnaise. Spread the Feta on a plate. Roll the corn in the Feta and sprinkle the chives on top. Serve with the hot sauce.