Maybe it's my fault, I don't remember. After installing Ubuntu 14.10 I tried to change cursor theme with Unity-tweak-tool. Think there was a big shadow so I tried to chose another theme. It does not change. Now I think it was Glass theme. I tried to change theme back to DMZ-White, did update-alternatives, checked system files, rebooted for many times and did compiz-replace. Nothing helped.I have purged xcursor-themes and did all things above again and now I see standard little black cursor but not DMZ one.
I found a solution. I was making experiments with KDE before. And after reinstalling 14.10 I didn't remove /home/user/.icons directory because I had some icons there. But KDE made 'default' directory in .icons and there was 'index.theme' file with KDE cursor settings. Deleting the 'default' directory helped me.