Can Cortex M4 data watchpoint trigger an interrupt without a debugger?
I looked deeper into the documentation and I found out that DebugMon_Handler is enabled by:

    CoreDebug-&gt;DEMCR = CoreDebug_DEMCR_TRCENA_Msk /*enable tracing*/ |
                       CoreDebug_DEMCR_MON_EN_Msk /*enable debug interrupt*/;


Now I get DebugMon_Handler interrupt when the watchpoint is hit.