Thank you Maxim.
I added these 2 directives in my configuration file:
proxy_ignore_headers "Expires";
proxy_ignore_headers "Set-Cookie";
And now my cache folder has some file !!!
[root@puppet cache]# ls
0741765da3f800afaeeca0c3a6139db8 0cbfc19bd25e83d6ffa73641383bab4a a5d938d8984466ebe2e9894c65ef49f1