I don’t know where I got it, but I know than name of debugger should be lldb. And after searching internet I found that I need to run some commands on Android itself. Basically, you run some application (debugger server) on Android and you run another application on your PC (client). It took me some time but finally I found that Visual Studio has some command line tool in Tools|Android menu but it turns that it just regular Windows command line tool with some predefined environment. After more searching, I realized that I have to type following to start Android command line:

adb shell

Next step would be to start application and attach debugger server to