Hm, looks like this was the reason. I set
screenDepth = 60000.0f;
screenNear = 1.0f;
and everything seems OK, but I cannot understand how in that case render a big/huge maps, for example, for a hundred of thousands km of space? Because of screen depth it cannot be rendered. What I must do in that case?
Short story, we cheat.
Long story: Oh no, I won't go into detail. But we use advanced rendering techniques to maximize precision (such as the ones in Outterra blog). Here's another (advanced, not sure if good for a newbie) slide: Rendering vast worlds.
We also render what's far away using 2D billboards instead of actual 3D geometry (the billboard is called impostor because we render the 3D to a texture and then display that texture as a billboard) and stuff like that, or just use fog, etc to hide artifacts.
Very people prefer to render the scene in two passes (2 depth buffers, what's close in one pass, what's far in the other one) and then composite both. It's troublesome but does the job.