Most likely you need to specify some subdirectory. Please open VisualGDB Project Properties on the IntelliSense Setting page, check the list of include directories and search them and their subdirectories for the BLEDevice.h file. Then use the #include <subdirectory/BLEDevice.h> format to include it.
Thanks for your answer. I think the problem is that there is no file called BLEDevice.h. Should VisualGDB install also BLEDevice.h or shall I download the BLEDevice.h on my own? I have searched “c:\Users\oldri\AppData\Local\VisualGDB\” but nothing found.
When you are creating an mbed project, VisualGDB uses the files from the official mbed distro on github. Perhaps the file is named differently there? Can you find a BLE example specifically for mbed?