Data mining is an interesting focus in computer science field now This paper deals with data mining techniques based on Grey system theories for time sequence data. Firstly, thoughts of data mining with embedded knowledge are expatiated, and the status quo of Data mining techniques is presented briefly. Then, based on the above thoughts and the Grey system theories, data mining techniques based on Grey system theories for time sequence data are proposed for the first time, and the idiographic arithmetic with GM(1,1) as an example is introduced in this paper. Last, it forecasts the total homes in 2002~2005 connecting with Internet in Shang Hai City by the arithmetic.