You should not use either one. Grease is a lubricant. It does not belong on any threaded surface that does not normally move. Teflon tape is used to seal threads to prevent air or a fluid from leaking through.
If you want to prevent a nut or bolt from rusting or seizing, use anti-seize.
If you want to prevent a nut or bolt from coming loose, use loctite: blue if you plan to take it back off in the near future; red if you don't ever plan on taking it off again.