Not at all.
You bake something in an oven. It's a box that's heated.
A toaster has heated elements very close to what is being toasted. You toast bread in a toaster to make toast.
You grill by placing your food on a metal rack over heat. It can be a gas grill or a charcoal grill. You do this outside, usually, though a few fancy cook stoves have small indoor grills.