Here is one workaround :
<mx:DataGridColumn headerText="colHeader" dataField="marHD" width="100" editable="false" fontFamily="Arial" rendererIsEditor="true" editorDataField="text">
<mx:itemRenderer>
<mx:Component>
<mx:Text fontFamily="myfontfamily"/>
</mx:Component>
</mx:itemRenderer>
</mx:DataGridColumn>