I finally found out what is wrong in my setup. This is a corporate laptop (I have admin rights so no problems there) and some stuff is controlled by my IT department.
For some reason Arduino IDE wants to setup libraries and sketch folder to my network drive which is not available without VPN connection (doing this Arduino stuff from home as proper employee should ;)). This is first installation/program which is creating some folders to network drive so I did not know from where to search the problem. All other programs are asking where to create user folders or those are automatically created to local hard drive. As the Arduino IDE cannot connect to my company network drive without VPN it closes itself without any notification.
This is now just a little problematic when I do not have network available. Now I am trying to find how can I set it up so that those folders are in my hard drive. So far I have had no luck with that...
Step by step getting closer to the solution 