Let's say I build a diagram with list of items (text), every text is linked with line to another to show relation. How can I snap line to text object, so when moving text, line will follow it's position? (another end of line will stick to other label)
AFAIK line endpoints can't be linked to objects in Sketch. You can't even select a line endpoint and an object at the same time. This would work in Adobe Illustrator.
If you have to work a lot with diagrams, you might want to look for special diagram software. There are free online tools like https://www.draw.io/, open source and commercial tools which would do what you need. They probably all export to SVG, so you can place the results in Sketch afterwards.