Following losant examples ( https://www.losant.com/blog/getting-started-with-the-esp8266-and-dht22-sensor ) does not work out-of-the-box.
I had to change two macros in PubSubClient.h to get it working.
#define MQTT_VERSION MQTT_VERSION_3_1
#define MQTT_MAX_PACKET_SIZE 256
After that, I could connect normally.
Thanks.