Thank you John and Rich.
Looks like it works.
Your suggestions were correct.
Double backslash does the trick.
But what I do first is - I installed OpenHAB designer (aka Eclipse mod)
Of course, what I noticed first is totally broken syntax highliting near the place where I defined regex string.
I added double backslaches, but result was still failed.
And here is the reason:
I tried to match WHOLE string using my regex, of course this was wrong.
Instead I need to use find facility.
And now rule looks like:
var String data = GPRS_Shield.state.toString
logInfo("[SERIAL GPRS]", data)
var String regex = "CMGR.*\\s*(.*)\\s*OK"
var Pattern pattern = Pattern::compile(regex, Pattern::MULTILINE)
var Matcher m = pattern.matcher(data)
if(m.find()) {
logInfo("[GPRS5]", m.groupCount() + " " + m.group(1))
}