The explosion outside the Crazy Horse nightclub in a red-light district of the Hungarian capital caused minor damage to the building and to several parked cars, but no one was injured, police said.
The new blast was the 26th this year and the third hand-grenade explosion in five days in different parts of the central European country.
Police blamed rival criminal groups battling for territory.
"Crime syndicates fighting for territory are behind these hand-grenade bombings," police spokesman Laszlo Garamvolgyi said.
"These are demonstrations of force by different criminal groups, both foreign and domestic," he said. "Police have been working hard on these cases, and we expect results in the next few days."
Grenades on Monday shattered the windows of a pizza parlor and a car showroom, and a bombing Saturday wrecked a car belonging to a gaming machines operator.
Lieutenant-Colonel Elek Katai of the National Police homicide squad said only three of the bombings had so far been cleared up, though he said more cases might be solved soon.
Some of the previous bombings included two aimed apparently at Jewish targets, including a small bomb planted in a dustbin near Budapest's Dohany Utca synagogue, which is Europe's largest.
Earlier this month, police detained a 17-year-old man who confessed to planting a bomb under a seat in a bus in northern Hungary, which injured four people.
A Slovak man committed suicide with a hand grenade in Budapest this month.
"This neighborhood has turned really bad in the last two years," said Krisztina Petranyi, a young mother who lives with her son in a building across the street from the Crazy Horse nightclub.
"Fights on the street happen almost every night ... and we try to avoid going out as much as we can," she said.
Government security officials were not immediately available for comment.
Diplomats said it was too soon to tell if the blasts could have an impact on Hungary's vital tourism industry.
"So far, these have been clearly targeted at property, and they go out of their way to make sure people are not hurt," a diplomat said.
"It is too soon to know if it is going to have repercussions outside [Hungary]."
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