Session not stored (memcached)

Actually it isn't working also with normal PHP session not only memcached, so no, memcached is not the problem obviously.
The thing is, i tried to make the request with POSTman app with chrome, and the session is normally stored. Only for my specific client which I also tried to run with NGINX (The same NGINX configuration works for some other clients).
Of course I will let you know about solution, but I have a feeling that it is not going to that way for now.