OK, the problem is that I used cobertura plugin as
<build>
<pluginManagement>
<plugins>
<plugin>
<groupId>org.codehaus.mojo</groupId>
<artifactId>cobertura-maven-plugin</artifactId>
<version>2.5.1</version>
<configuration>
<formats>
<format>xml</format>
<format>html</format>
</formats>
</configuration>
</plugin>
</plugins>
</pluginManagement>
Instead it should be as
<build>
<plugins>
<plugin>
<groupId>org.codehaus.mojo</groupId>
<artifactId>cobertura-maven-plugin</artifactId>
<version>2.5.1</version>
<configuration>
<formats>
<format>xml</format>
<format>html</format>
</formats>
<check/>
</configuration>
<executions>
<execution>
<phase>clean</phase>
<goals>
<goal>cobertura</goal>
</goals>
</execution>
</executions>
</plugin>
</build>
<reporting>
<plugins>
<plugin>
<groupId>org.codehaus.mojo</groupId>
<artifactId>cobertura-maven-plugin</artifactId>
<version>2.5.1</version>
</plugin>
</plugins>
</reporting>
After this I point Jenkins Cobertura plugin to *core/target/site/cobertura/
coverage.xml*
