Found the real problem with blob and fixed it using blob.

in firefox you have to append element before clicking on it unlike chrome.
also there was a problem with UTF-8 char-set, fixed it by adding UTF-8 BOM at the beginning of file.

dist/js/jquery.jexcel.js

@@ -3862,14 +3862,14 @@ var methods = {
         data += $(this).jexcel('copy', false, ',', true);
 
         // Download elment
-        var a = $('<a>');
-        a.attr('download', options.csvFileName + '.csv');
-        a.attr('href', 'data:text/csv;charset=utf-8,\uFEFF' + encodeURIComponent(data));
-        a.attr('target', '_blank');
-        a.hide();
-        $('body').append(a);
-        a[0].click();
-        a.remove();
+        var pom = document.createElement('a');
+        var blob = new Blob(["\uFEFF"+data], {type: 'text/csv;charset=utf-8;'});
+        var url = URL.createObjectURL(blob);
+        pom.href = url;
+        pom.setAttribute('download', options.csvFileName + '.csv');
+        document.body.appendChild(pom);
+        pom.click();
+        document.body.removeChild(pom);
     },
 
     /**