1. A computer-implemented method that processes a virtual I/O request, carried out in a virtualized computer system running one or more virtual machines on virtualization software and in which a guest operating system (guest OS) running on a guest-OS-supporting virtual machine of the one of the virtual machines issues the virtual input/output (I/O) request to a virtual device, the method comprising: receiving the virtual I/O request; responsive to completing a physical I/O operation corresponding to the virtual I/O request, the virtualization software referring to a VCPU (Virtual Central Processing Unit) set data structure including information identifying a destination VCPU designated by the guest OS to handle a virtual interrupt corresponding to the virtual I/O request, the destination VCPU being one of a plurality of VCPUs provided to the guest-OS-supporting virtual machine by the virtualized computer system; and generating the virtual interrupt to the destination VCPU.