It is not allowed to add Subsuf-Modifier after Egde Split?
I ask because that make holes on my model, see screenshot.
Of course it is allowed and it does its job just fine. The behaviour you experience is, I think, predictable and logical, although it’s probably not what you’re searching for 
Move the Edgesplit modifier one position down in the stack and it should work fine.
If I move the Edgesplit modifier one position down my model looks not as I expected.
If not, then please upload another screenshot showing the result you get. If the edgesplit is moved below the subsurf, it will make edges look sharper than before - or at least it should.
If it doesn’t, it might be a problem with the modeling as well, the model itself. In that case the .blend would be a great help as well.
There are 3 images that show my model.
0.png:
Without Subsurf but with Egde Split. This is OK.
1.png:
first Egde Split --> then Subsurf. This is not becouse of holes)
2.png:
first Subsurf --> then Egde Split. This is not OK (Different result)
Model-Test.blend:
This is the part of my model file.
Attachments
Model-Test.blend (390 KB)
I see. All of the images show that the modifier works as it should. Not sure what you actually want to accomplish with the modifier but the following gets rid of the sharp lines caused by the edge split modifier: go into edit mode, select all, hit ctrl+E -> “Clear Sharp”.
By selecting Edges and using “Mark Sharp” you can then select the edges which will be split and therefore you have total control over which edges will appear sharp after the subsurf. (see also the wiki entry for the modifier)