They told Engadget, and our own reader Jason:
Gripping any mobile phone will result in some attenuation of its antenna performance, with certain places being worse than others depending on the placement of the antennas. This is a fact of life for every wireless phone. If you ever experience this on your iPhone 4, avoid gripping it in the lower left corner in a way that covers both sides of the black strip in the metal band, or simply use one of many available cases.
In essence, don’t hold it that way. Or use a case. Both pretty horrible solutions to what is evidently a hardware problem. Meaning they probably can’t fix this with a software update, or else Apple’s statement would have included an item about their engineers working on the issue, and saying there will be a fix soon.