How to denoise EXR and its passes in Cycles?
I tried enabling Denoising Data and it didn't work.
Denoising all passes is not necessary at all since not all passes contain noise. Color passes like Diffuse Color, Glossy Color, Transmission Color only contain plain colors and information from image textures and have no noise at all. Depth, Alpha, Emission and Environment passes are also usually absolutely clean.
It's not only pointless to waste time denoising clean passes, but it will also remove detail from final result and make it worse.
The noisiest passes are the ones resulting from light calculations - direct and indirect light passes. Indirect light calculations are more complex since they calculate bounced light and so they will have the most noise. You should denoise all of these layers. If you need to have control over direct and indirect light during compositing, it's fine to denoise them separately, however it is also perfectly fine to just add light passes together and denoise only that to save some time:
It also makes a difference if you use Denoising Normal pass. It is special kind of pass since it shows normals in reflections as well, so it will work for glossy passes well and even mirrors in your renders will get denoised correctly. Using albedo input when denoising only light passes without albedo information in them makes no sense and will not improve the result. Albedo input is only useful if you are denoising composited image in cases when you don't want to render all the light passes at all.
I found the solution. Connecting all render layers to denoisers then attaching them to file output and export them in file output file as EXR.