It was issue with ArcGIS Pro project file. Save as didn't solve the issue. I have recreated project from scratch and now it works fine.
I have extracted both projects to files. There is CIMProjectItem record in GISProject.xml file which is related to ArcGIS Colors. In damaged project CatalogPath setting is equal to full project path + ArcGIS Colors:
<CatalogPath>C:\MyProject\Project\ArcGIS Colors</CatalogPath>
In working project:
<CatalogPath>ArcGIS Colors</CatalogPath>
The same situation with ColorBrewer Schemes (RGB).