Q: Target display mode does not work for me on thunderbolt

I have 21,5-inch iMac Late 2013 model and 15 inch MacBook Pro Late 2013 model with Retina display. I bought apple thunderbolt cable and when I want to turn on target display mode on my iMac it just makes sound, but it doesn't work. I am running 10.11.4 on iMac. On my mac I am currently running windows 10 (for current projects) and cannot go back to OS X (long story, I have to reformat drive, but only once I am done with project). So I know my thunderbolt works on my MacBook because I use it for Ethernet adapter and thunderbolt to HDMI and I use them on daily basis. But I cannot connect iMac to work in target display mode. I tried resetting SMC does not really help. OS and firmware are up to date. Also I can notice that my thunderbolt cables gets slightly hot around connector when two machines are connected. Keep in mind I tried with disabling function keys with function keys, everything I possibly found on the internet and it just makes sound when I click command+F2

Any suggestion how to make iMac switch to target display mode?