Calls from Yosemite via iPhone fail when connected via WiFi and Thunderbolt Ethernet
I did not realise that it works when I am connected only via Thunderbolt Ethernet - I though you have to connected to the same WiFi network.

You can only have one active network interface at a time.

Having multiple interfaces connected confuses the Mac and is in general a bad practice.

In short, pick one; either disconnect the TB Ethernet or shut off Wi-Fi.