Comment 2 for bug 883017 (ruedii) wrote :

This bug has to do with the EFI version of grub not supporting loading real mode binaries.

You might be able to workarround this by using the chainloader mode to bootstrap into another capable bootloader, and then launching memtest86 from the secondary loader. The .iso image form of memtest86(+) could be used for this. However, I am uncertain if even this would work. (Although, it is worth a try.)