Thank you for the welcome and the offer but my colleague managed to find the cause of the problem. Program we use called WizMouse (it lets you scroll inactive windows under the mouse pointer without having to click on them first) was in some sort of conflict with Creo. After the WizMouse was disabled mouse wheel zoom in Creo was working fine.
If you want you can replicate the problem on Windows 7. We tried installing WizMouse on our laptop with W7 and the same problem occurred.