Ok... At last I solved it! :)
Saving activity state instead of preventing activity from reload, from first sight can seem to be a little tricky, but in fact is really easy and it's the best solution for situations like this.
In my case, I had a ListView, that populates from the internet with items, that stored in custom list adapter. If device orientation was changed, the activity was reloaded, so does the ListView, and I was loosing all the data.
All I needed to do is to override the OnRetainNonConfigurationInstance method.
Here's a quick sample of how to do it. 
First of all, we need a class, that can handle all of our stuff.
Here is a wrapper for all the things we need to save:
public class MainListAdapterWrapper : Java.Lang.Object
{
    public Android.Widget.IListAdapter Adapter { get; set; }
    public int Position { get; set; }
    public List<YourObject> Items { get; set; }
}
In our activity, we need to hold variables, to store all the data:
ListView _listView; //Our ListView
List<YourObject> _yourObjectList; //Our items collection
MainListAdapterWrapper _listBackup; //The instance of the saving state wrapper
MainListAdapter _mListAdapter; //Adapter itself
Then, we overriding the OnRetainNonConfigurationInstance method in the activity:
public override Java.Lang.Object OnRetainNonConfigurationInstance()
{
    base.OnRetainNonConfigurationInstance();
    var adapterWrapper = new MainListAdapterWrapper();
    adapterWrapper.Position = this._mListAdapter.CurrentPosition; //I'll explain later from where this came from
    adapterWrapper.Adapter = this._listView.Adapter;
    adapterWrapper.Items = this._yourObjectList;
    return adapterWrapper;
}
And the final stage is to load saved state in OnCreate method:
protected override void OnCreate(Bundle bundle)
{
    base.OnCreate(bundle);
    SetContentView(Resource.Layout.list);
    this._listView = FindViewById<ListView>(Resource.Id.listView);
    if (LastNonConfigurationInstance != null)
    {
        this._listBackup = LastNonConfigurationInstance as MainListAdapterWrapper;
        this._yourObjectList = this._listBackup.Items;
        this._mListAdapter = this._listBackup.Adapter as MainListAdapter;
        this._listView.Adapter = this._mListAdapter;
        //Scrolling to the last position
        if(this._listBackup.Position > 0)
            this._listView.SetSelection(this._listBackup.Position);
    }
    else
    {
        this._listBackup = new MainListAdapterWrapper();
        //Here is the regular loading routine
    }
}
And about the this._mListAdapter.CurrentPosition... In my MainListAdapter, I added this property:
public int CurrentPosition { get; set; }
And the, in the `GetView' method, I did that:
this.CurrentPosition = position - 2;
P.S.
You don't have to implement exactly as I showed here. In this code, I'm holding a lot of variables, and making all the routine inside the OnCreate method - that is wrong. I did that, just to show how it can be implemented.