Target-oriented Opinion Words Extraction (TOWE) is a fine-grained sentiment analysis task that aims to extract the corresponding opinion words of a given opinion target from the sentence. Recently, deep learning approaches have made remarkable progress on this task. Nevertheless, the TOWE task still suffers from the scarcity of training data due to the expensive data annotation process. Limited labeled data increase the risk of distribution shift between test data and training data. In this paper, we propose exploiting massive unlabeled data to reduce the risk by increasing the exposure of the model to varying distribution shifts. Specifically, we propose a novel Multi-Grained Consistency Regularization (MGCR) method to make use of unlabeled data and design two filters specifically for TOWE to filter noisy data at different granularity. Extensive experimental results on four TOWE benchmark datasets indicate the superiority of MGCR compared with current state-of-the-art methods. The in-depth analysis also demonstrates the effectiveness of the different-granularity filters.