About 400 years have passed since the great discoveries by Galilei, Kepler and Newton, but astronomy still remains an important source of discoveries in physics. They start with puzzles, with phenomena difficult to explain, and which in fact need for explanation the new physics. Are such puzzles existing now? There are at least three candidates: absence of absorption of TeV gamma radiation in extragalactic space (violation of Lorentz invariance?), absence of GZK cutoff in the spectrum of Ultra High Energy Cosmic Rays (new particle physics?), tremendous energy (up to $10^{54}$ ergs) released in Gamma Ray Bursts during a time scale of a second (collapsing stars or sources of a new type?). Do these puzzles really exist? A critical review of these phenomena is given.
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