Problem solved!
There was some wrong settings of firewall of my gateway server.
There was two lines in iptables
config that allowed me to access my home computer from external networks:
-A PREROUTING -p tcp -m tcp --dport 3389 -j DNAT --to-destination 192.168.x.y -A PREROUTING -p udp -m udp --dport 3389 -j DNAT --to-destination 192.168.x.y
I did not specify any conditions (like in/out interfaces and ip addresses), so my server prerouted me to myself and Windows got surprised.
I have commented out these two lines and RDP started to work fine.