Theoretically, the running of the cosmological constant in the IR region is not ruled out. On the other hand, from the QFT viewpoint, the energy released due to the variation of the cosmological constant in the late Universe cannot go to the matter sector. For this reason, the phenomenological bounds on such a running are not sufficiently restrictive. The situation can be different in the early Universe when the gravitational field was sufficiently strong to provide an efficient creation of particles from the vacuum. We develop a framework for systematically exploring this possibility. It is supposed that the running occurs in the epoch when the Dark Matter already decoupled and is expanding adiabatically, while the usual matter should be regarded approximately massless and can be abundantly created from vacuum due to the decay of vacuum energy. By using the handy model of Reduced Relativistic Gas for describing the warm Dark Matter, we consider the dynamics of both cosmic background and linear perturbations and evaluate the impact of the vacuum decay on the matter power spectrum and to the first CMB peak. Additionally, using the combined SNIa+BAO data, we find the best-fit values for the free parameters of the model.