Player A controls The Titan's Bastard:

"House Targaryen only.
Response: After a card is placed in your dead pile, put The Titan's Bastard into play from your hand.
Response: After a card is placed in an opponent's dead pile, return The Titan's Bastard to its owner's hand."

Player B controls some characters.

One of players reveals a Valar Morghulis plot card:

"Limit 1 per plot deck.
When revealed, kill all characters in play."

And so:

All characters are killed - some characters are placed in dead pile of player B and my question is:

Does The Titan's Bastard response comes in and he returns to the owner's hand or does he go to dead pile of player A? I mean: all characters are killed in the same time so The Titan's Bastard as well and I am not sure if he should be considered dead at the time his response could be activated.

Yes. The Titan's Bastard is dead. He died before he could trigger his Response and return to hand.

Heh, I posted a note about this issue on Rogue30's site last week.