I just wanted to post an update to my issue with CiscoAnyConnect client.
After a few discussions with Apple's Yosemite and iOS team on this they decided that this was not an Apple related issue and we should contact Cisco for support. We did open a case with Cisco and a few hours later we had the issue resolved. Still...I think that this is still an Apple (OS X & iOS) issue....but this is my personal opinion. Here is what Cisco gave us as an answer:
Symptom:
A Yosemite (OS X) device which connects to the internet via an iOS device is not functioning with AnyConnect.
Conditions:
Mac OS X 10.10 (Yosemite)
Internet access via tethered connection to iOS device
VPN connection fails
Workaround:
Disable IPv6 on Wi-Fi interface used for tethering.
So to resolve this:
1. Open terminal and change to root mode - type "sudo -i" at the command prompt and enter a password for user with Admin rights
2. Type the following command - networksetup -listallnetworkservices
3. You should see the following output:
An asterisk (*) denotes that a network service is disabled.
Bluetooth DUN
Ethernet
Wi-Fi
iPhone USB
Bluetooth PAN
Thunderbolt Bridge
4. Type the following command: networksetup -setv6off Wi-Fi
That's it....hope this helps.