I made that shape using boolean modifier and two cylinder. But two face has been created after modifier has been applied. I am unable to merge these two faces. I tried "Dissolve faces" command but it did not work.
You should delete them and create nice geometry by bridging the edge loops instead(Ctrl+E -> L):
This way you will avoid possible shading errors with automatic triangulation of concave n-gons. You can then select the face loop by Ctrl+ click, or select one face and hit Shift+G->C for selecting Co-planar faces, or you could use select linked flat faces function:
You could assign a shortcut to that by rightclicking it and choosing assign shortcut.