Based on Yihui comments (see also comments below), here is a solution that worked for me. The .Rnw document I'm working with is encoded as UTF-8.
The key must indicate the encoding on knit .

Please note that we still do not see "č" (for media without media, you can read this character as "ch").
The problem can be solved by specifying a different printing device. Try specifying dev = "CairoPDF" (requires the optional CairoPDF package) or dev = "cairo_pdf" (doesn't require the additional packages) in your chunk option.
<<dev = "CairoPDF">>= plot(runif(100), main = "ŠČĆŽ ščćž") @
or
<<dev = "cairo_pdf">>= plot(runif(100), main = "ŠČĆŽ ščćž") @

If you use Eclipse + StatET to frict your reports, you can configure these options to automate your workflow.

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