Ok, I got it.

In my case error was thrown by libmkl_intel_thread.so, it dlopen() libiomp5.so. 
This thread describes the reason: 
https://software.intel.com/en-us/forums/intel-math-kernel-library/topic/402497

So I chose the wrong package, must be libmkl-rt.

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https://bugs.launchpad.net/bugs/1804762

Title:
  libomp5 packaging problem: *.so are in -dev package

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