Piers Morgan -- Kelsey Grammer's BANNED From My Show

Move over Madonna ... Piers Morgan tells TMZ, he's got a new enemy ... Kelsey Grammer ... who's now officially BANNED from Morgan's show after walking off the set last week.

Morgan was out in NYC yesterday ... and he's clearly still pissed about last week's incident when Grammer bolted from his scheduled appearance on "Piers Morgan Tonight" -- just minutes before the interview started.

Morgan claimed Kelsey ditched the CNN show after the network aired a pic of his ex-wife, Camille Grammer, in the opening moments.

And now, Morgan's holding a big grudge ... telling us Grammer's little stunt will be his last -- because he's NEVER welcome back on the show.