We study here the spontaneous clustering of a submonolayer of grains under horizontal circular shaking. The clustering of grains occurs when increasing the oscillation amplitude beyond a threshold. The dense area travels in a circular fashion at the driving frequency, even exceeds the speed of driving. It turns out that the observed clustering is due to the formation of density wave. The analysis of a phenomenological model shows that the instability of the uniform density profile arises by increasing the oscillation amplitude and captures the non-monotonic dependence of the transition amplitude of the clustering on the global density of the system. Here, the key ingredient is that the velocity of individual grains increases with the local density. The interplay of dissipative particle-particle interaction and the frictional driving of the substrate results into this dependence, which is tested with discrete element method simulations.