1. 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 one of the virtual machines issues a virtual input/output (I/O) request to a virtual device, a computer-implemented method of processing the virtual I/O request, the method comprising: receiving the virtual I/O request; responsive to completing a physical I/O corresponding to the virtual I/O request, referring to a virtual CPU (Central Processing Unit) set data structure including information identifying a destination virtual CPU designated by the guest operating system to handle a virtual interrupt corresponding to the virtual I/O request; and generating the virtual interrupt to the destination virtual CPU.