In smart grid, the electronic consumption data, including the electric vehicle charging payment, the residential electricity payment and so on, involves the privacy of each individual. The leakage of private consumption data is a serious issue in the grid system. Therefore, aiming at the secure and efficient collection, this paper presents a threshold group signature scheme with revocation mechanism suitable for the smart grid. Combining the blockchain technology and group signature, it addresses the problems of the semi-trust among the authorities and the anonymity of entities. In addition, the revocation mechanism enables the tracking and punishment on the malicious users. Finally, the security analysis and simulations demonstrate the properties and advantages in terms of secure features, computational and communication costs.