Custom shader: Shadow disappears on play

I use custom shader with SHADOW_COORDS, SHADOW_TRANSFER, and SHADOW_ATTENUATION and it renders shadows perfectly in scene and game window when editor is not playing.

But when I click play shadows are gone, anyone has an idea what to check?
Shadows are gone only on my custom shader, other shaders still render shadows also in play mode.

Cheers,
Darjo