Where is SQLCMD.EXE in SQL Server 2014 LocalDB or how to install it?
I have figured out that during SQL Server LocalDB MSI installation the ODBC driver is not installed 

So to use SQLCMD it is necessary to install 
Microsoft® ODBC Driver 11 for SQL Server® - it is a part of ODBC driver as per here. 

When I tried to install Microsoft® Command Line Utilities 11 for SQL Server® it prompted me to install the ODBC Driver first.

Then it is possible either to copy the files SQLCMD.EXE, BATCHPARSER.DLL and SQLCMD.RLL or to install Microsoft® Command Line Utilities 11 for SQL Server®.