Yes, I know how to run application downloaded from Anywere.
My current settings is:
Allow apps downloaded from:
* Mac App Store and identified developers.
This means that OS X will run any application singed by identified developer.
Cocos Creator is signed by "Developer ID Application: CocoaChina (U7E7529TA5)". This signature is valid.
My question is why OS X did not allow me to run it? That is what is absolutely not clear for me.