Need to be careful with udev rules. I needed to set it to:
# STM32F4 - ST-Link/V2-1
ATTRS{idVendor}=="0483", ATTRS{idProduct}=="374b", MODE:="0666" # pay attention to version of idProduct. 374b, not 3748. Read what lsusb | grep -i stm says.
Because my board has the STLINK 2.1 (not a v2 or less) debugger.
Also, I monkey-patched this .cfg file /usr/share/openocd/scripts/board/stm32f4discovery.cfg accordingly to the version of a debugger, otherwise I was getting following error:
Error: open failed
in procedure 'init'
in procedure 'ocd_bouncer'
Be careful when you read a tutorial from https://docs.rust-embedded.org/discovery, because it's brilliant as much as it's about the cortex F3 :)