Continuity in Yosemite - Personal Hotspot doesn't work

I can't use my mobile internet connection via Personal Hotspot from my MacBook Pro 15" Retina (Late 2013) running Yosemite.

I have iPhone 5S (64GB) with O2 UK, running iOS8.1. Tethering is enabled and functional with my provider, works ok if I use it from my iPad Air running iOS8.1 - shows up my iPhone in the list of "Personal Hotspots" in WiFi settings, correctly enables it when selected.

However on the Mac, even though my phone is listed in Personal Hotspot when I click on the WiFi icon in toolbar and it shows correctly 4G, signal strength and battery life, it doesn't work. When I select the phone, it starts connecting initially and then ends up with "Failed to enable Personal Hotspot on device...." and switches back to a normal WiFi.

I've tried enabling / disabling the hotspot on my iPhone, switching iPhone off / on, resetting iPhone, rebooting Mac, re-pairing both devices, keeping iPhone switched on and in Hotspot setting page (like it was necessary in the past), nothing helps. iPad works ok, Mac doesn't.