I did a test with a variable power supply , and I can confirm that the pro mini does weird stuff at smaller then 3v, but it works at 3.3v.. I have now also ordered those 3.3v up-boosters (because I already bought the battery mounts) mentioned here.

I have a DHT11 + NRF24L01 + Pro Mini 3.3v 8Mhz
All is working fine when on usb cable.. but it fails when connected to 2x 1.5 AA batteries..
what could be wrong ?