Found it myself :) This is where exports are prevented for i386 when no assembler used. Specifically:
#if defined(OPENSSL_CPUID_OBJ) && !defined(OPENSSL_NO_ASM) && !defined(I386_ONLY)
#define OPENSSL_CPUID_SETUP
#if defined(_WIN32)
typedef unsigned __int64 IA32CAP;
#else
typedef unsigned long long IA32CAP;
#endif
void OPENSSL_cpuid_setup(void)
{ ...
So, we need an assembler for x86. I Installed NASM and the library compiles successfully.