Hi Alexey
Those two terms are interchangeable, meaning nobody will judge you for using either. Generally speaking though, 'happen to' refers to a physical person or object, while 'happen with' could refer to something more abstract.
For example:
"What will happen to John, when he leaves?"
"What will happen with the weather, if the ice caps melt? (Weather in this context referring to a state or condition, which is abstract)