Ok, I have found where problem is. I tried to work with 3d-coat sample .obj files and here is a problem. And I have found right way.
Wrong way:
1. Open creature.obj sample file in 3d-coat for ptex painting.
2. Paint on model (Picture 1)
3. Export mesh and .ptex color texture. "Flip ptex quads" must be checked.
4. Import mesh from step 3 into 3ds max. Change render to Vray. Select new material. Apply diffuse map as VrayPtex map and apply material to the model.
5. Render. Result is wrong (Picture 2)
Right way:
1. Import creature.obj 3d-coat sample file into 3ds max.
2. Export file to the new .obj file and then open it in 3d-coat for Ptex painting (or use AppLink to bring this model from 3ds max to 3d-coat for Ptex painting).
3. Paint in 3d-coat (Picture 3)
4. Export .ptex color texture. "Flip ptex quads" must be checked.
5. We still have model open in 3ds max from step 1. Change render to Vray. Select new material. Apply diffuse map as VrayPtex map and apply material to the model.
6. Render. Result is good (Picture 4)
I use 3ds max 2012, Vray v.2.30.01, and 3d-coat v.3.7.11B.