Answering my question myself.
It was a small sentence in Symfony2 docs http://symfony.com/doc/current/book/forms.html
This {% form_theme form _self %} functionality will only work if your template extends another. If your template does not, you must point form_theme to a separate template.
So there are two solutions to solve this problem:
move form theme code to the separate file and include it in a embedded template using
{% form_theme form with 'fields.html.twig' %}
leave the form theme code in the same template, where the form will be generated, but extend the template from some "
form.html.twig
" empty template.
I have only done the second way, and its works, but I am sure the first one will work as well.