OK, digging around I found an issue:
1. I import collada to DirectX, so all matrices should be transposed.
2. I use Yup axis and Blender has Zup axis, so I have to change axis with special matrix
M11 - 1
M23 - 1
M32 - 1
M44 - 1
multiply each joint matrix once like this - newjointMatrix = axisChangeMatrix * jointMatrix * axisChangeMatrix
You need to do this once during load.
Then I should just multiply offset * keyframeMatrix. Or If I have hierarchy - keyframe*keyFrame.Parent *..... Parent and so on.
Then - send final matrices array to shader.
Now animation works correct.