Is there any way or library to communicate two Arduino devices with encrypted connection using modules NRF24L01 or "433Mhz RF" ? Similar encryption like CCMP in Wi-Fi network.
Communicating and Encryption are to completely separate things. How you communicate (with what device) has no relevance to encryption. True, there are devices that can themselves encrypt data, but they tend to be higher-end or geared towards a specific purpose (such as WiFi).
What you send is just data. What that data consists of is entirely up to you. If you want your communications encrypted then send encrypted data before sending it and decrypt it after receiving it.
Of course, you have to then consider such things as sharing of keys, etc.
There are numerous ways of encrypting data, but one of the easiest to implement on Arduino is AES, for which there is a library here.