Ok I found what is wrong. I am using Style for CellValuePresenter:

<Style x:Key="CellStyle" TargetType="igDP:CellValuePresenter" BasedOn="{x:Static igThemes:DataPresenterOffice2010Blue.CellValuePresenter}">
            <Setter Property="Template">
                    <Setter.Value>
                        <ControlTemplate TargetType="{x:Type igDP:CellValuePresenter}">
                            <TextBlock Text="{Binding RelativeSource={RelativeSource FindAncestor, AncestorType={x:Type igDP:CellValuePresenter}}, Path=Value}" Background="Transparent" />
                        </ControlTemplate>
                    </Setter.Value>
                </Setter>
        </Style>

But now I can't see cells that should be selected. Is there a way around this?

Ok I solved it with help of this post http://ko.infragistics.com/community/forums/t/77613.aspx . Template override whole template of cell. Define ContentTemplate is much more better.

<Style x:Key="statCellTemplate" TargetType="igDP:CellValuePresenter">
    <Setter Property="ContentTemplate">
        <Setter.Value>
            <DataTemplate>
                <TextBlock Text="{Binding Value}" />
            </DataTemplate>
        </Setter.Value>
    </Setter>
</Style>