MSDN says: Audit of read operations is an Unsupported Feature.
Does it means that I can't audit read operations at all, or that I just can't do it with standart CRM tools and need to create a custom solution (plugin i.e.) for this case?
It means CRM doesn't provide a feature to audit read operations out of the box.
You can still build a custom solution to capture read information.
I have done this in the past by using a plugin that updates a 'Read By' field (like the 'Created/Modified By') on the entity when a retrieve is performed on the record.
I then audit the 'Read By', so the read by information is also shown in the audit area.