OK, I had to install mosquitto libraries: sudo apt-get install libmosquitto-dev . All compiled fine. It is always good to ask.

I did some debugging of my mqtt broker. It seems that PiGatewayMQTT is not subscribing to receive notifications from broker.
Is the PiGatewayMQTT able to receive messages from broker and sending them back to nodes?

That what I tested first. I getting no response from PiGatewayMQTT. It seems that it is not subscribing to this subject.
My broker sends the message. I can see it on my other eventghost as:

12:51:10 MQTT./mySensors/1/1/V_LIGHT u"1"

I have the PiGatwayMQTT and mosquitto running on my raspberry.
My double relay controler is connecting to it.
As it can be seen on my EventGhost MQTT client below:
MQTT./mySensors/1/255/I_REQUEST_SIGNING u"
"
MQTT./mySensors/1/255/S_ARDUINO_REPEATER_NODE u"2.0.0-beta"
MQTT./mySensors/1/255/I_CONFIG u"0"
MQTT./mySensors/1/255/I_SKETCH_NAME u"Relay"
MQTT./mySensors/1/255/I_SKETCH_VERSION u"1.0"
MQTT./mySensors/1/1/S_LIGHT u""
MQTT./mySensors/1/2/S_LIGHT u""
The question is what should I send to MQTT broker in order to switch the relay.
I tried a lot of possible combinations with no success.

@aaron832 It says armv7l. Please, note it is not armv71 the last character is small "L" not 1 (one). This is raspberry pi 2 with ubuntu mate 15.10. I am going to edit Makefile replacing armv71 with armv7l and see what's happening. Thanks again.

@aaron832 While running make all from libraries/MySensors I am getting errors like that:

examples_RPi/PiGateway.o: In function transportSendWrite(unsigned char, MyMessage&)': /home/artur/Arduino-feature-MQTTSupport/libraries/MySensors/./core/MyTransportNRF24.cpp:102: undefined reference to RF24::powerUp()'
/home/artur/Arduino-feature-MQTTSupport/libraries/MySensors/./core/MyTransportNRF24.cpp:103: undefined reference to RF24::stopListening()' /home/artur/Arduino-feature-MQTTSupport/libraries/MySensors/./core/MyTransportNRF24.cpp:104: undefined reference to RF24::openWritingPipe
and continues....
I have installed : https://github.com/TMRh20/RF24.
What I am doing wrong?

@aaron832 Thanks I will do that. In fact I am connecting MySensors to eventghost not OpenHab but the ide MQTT is the same.

OK, I had to install mosquitto libraries: sudo apt-get install libmosquitto-dev . All compiled fine. It is always good to ask.

Thanks aaron832 for the gateway.
While running make all from under libraries/MySensors I am getting:
examples_RPi/PiGatewayMQTT.cpp:42:23: fatal error: mosquitto.h: No such file or directory
compilation terminated.
Makefile:102: recipe for target 'examples_RPi/PiGatewayMQTT.o' failed
make: *** [examples_RPi/PiGatewayMQTT.o] Error 1
Can you help?