Yep, thanks. I sniffed all HTTP headers which browser sends to the site and then emulated them in cfhttp request. The solution is:
<cfhttp url="http://example.com/feed"
useragent="Mozilla/5.0 (X11; U; Linux i686; en-US) AppleWebKit/533.7 (KHTML, like Gecko) Chrome/5.0.391.0 Safari/533.7"
result="httpresult"
redirect="false"
>
<cfhttpparam type="header" name="HTTP_REFERER" value="http://example.com/feed/" >
<cfhttpparam type="header" name="Accept-Encoding" value="gzip,deflate,sdch" >
<cfhttpparam type="header" name="Proxy-Connection" value="keep-alive" >
<cfhttpparam type="header" name="Accept" value="application/xml,application/xhtml+xml,text/html;q=0.9,text/plain;q=0.8,image/png,*/*;q=0.5">
<cfhttpparam type="header" name="Accept-Language" value="en-US,en;q=0.8">
<cfhttpparam type="header" name="Accept-Charset" value="ISO-8859-1,utf-8;q=0.7,*;q=0.3">
<cfhttpparam type="cookie" name="some-cookie" value="1">