I am new to work with Xeon Phi Co-processor and my question is:
Does exists a mechanism like CUDA streams in Xeon Phi ???
Yes. The Intel Manycore Platform Software Stack (MPSS) provides hStreams, which are designed to be similar to the CUDA streams model.
There is a chapter in High Performance Parallel Programming Pearls II on hStreams, which you can preview in Google Books.
I can't find any detailed documentation on Intel's website, but the release notes say that you can find PDFs in the MPSS distribution, which should be on any Intel Xeon Phi coprocessor system.
BSC has detailed documentation of hStreams here.