To be on the safe side, I did setup.py again.
But, I got the same result:
clang: error: no such file or directory: ‘${MY-Project-PATH}/bin/release/ios/libcocos2d iOS.a’
same problem for me too. First time I compiled on iOS and it was working, then changed to mac OS, compiled, worked again, after changing build target from mac os to iOS it stopped working.