The game does not connect even with the two executables used by the game have been allowed by Bitdefender Firewall. It only works by disabling the Bitdefender Firewall.
These are the two executables:
"...\Steam\SteamApps\common\Dirty Bomb\Binaries\Win32\ShooterGame-Win32-Shipping.exe"
"...\Steam\SteamApps\common\Dirty Bomb\Binaries\Win32\host\CoherentUI_Host.exe"