I have 3D image and this is several 3D layers merged in one. But when I try to rotate it layers become transparent
What I should do if I want to remove this "transparent effect"?
It looks like your 3D Layer has transparency (used when creating the 3D layer in Photoshop), as seen in the Layers panel. You'll need to go into the 3D object, select the material, and A) remove the Opacity texture if one exists, B) edit the Diffuse texture and if there is no "background" layer in the texture then the Diffuse Color is shown (pass-through from the transparent texture).
If you want to use the blue radial gradient in the background of the Diffuse texture, copy it from (in your example) "Layer 1" and then open the Diffuse texture, paste in the layer and move it to the back. If there is no transparency in the diffuse texture and there is no Opacity texture for the material then there should be no transparency.
Note: You can create a Diffuse, Specular and Illumination texture that has transparency and whatever part of the texture is transparent will use the color in it's associated color picker (in the Material properties). You can effectively stencil out your "decals" and then change the main texture color using the color well. Also, your "decal" can have varying degrees of transparency and will "blend" with the color in the color picker, providing a way of creating tints. This is very effective if you're working with a client and they want to change the color(s).
In Addition: As Derek pointed (above) out layers are set in 3D space, which is true, however, all entities in the 3D layer are actually 3D, it's just that 3D Postcards are infinitely thin (an extrusion value of 0) so when they are turned to their side you see, well, nothing.
If you want to have some thickness to your shape (so it's visible from all angles) convert your layers to a 3D Extrusion as opposed to a 3D Postcard and set the extrusion depth to 1, 5, or whatever you'd like, just not 0, unless you adjust the Bevel or Inflation values to give the front and/or back surfaces some geometry. Cheers!