How bitcoin nodes update UTXO set when their latests blocks are replaced? Let's say bitcoin node has 100 blocks. Then he recieve another two blocks. Now it have 102 blocks. But now he recieve block 103. And this block is from another chain and our node have to remove blocks 101 and 102 and replace them with this chain with block 101, 102 and 103.

So now it must rewind UTXO set back to node 100 and update with transactions from newly recieved nodes 101..103.

How nodes making this rollback in utxo set?
Bitcoin Core since v0.8 maintains "undo files" that contain the information necessary to undo the effect of a block on the UTXO set.

In a way you can see blocks as authenticated patches to be applied to the UTXO set; they list new outputs to be added, and which inputs to be spent. In order to support rolling back the UTXO set, undo blocks are created as a side effect of validation: structures that contain the UTXOs that were spent. When rolling back, the undo files are applied in reverse order.