I've got rid of type mismatch by following code:
Sub ConvertToDate()
Dim r As Range
Dim setdate As Range
'in my case I have a header and no blank cells in used range,
'starting from 2nd row, 1st column
Set setdate = Range(Cells(2, 1), Cells(2, 1).End(xlDown))
With setdate
.NumberFormat = "dd.mm.yyyy" 'I have the data in format "dd.mm.yy"
.Value = .Value
End With
For Each r In setdate
r.Value = CDate(r.Value)
Next r
End Sub
But in my particular case, I have the data in format "dd.mm.yy"