The following Docker run command returns the showed error message:

docker run -u $(id -u) -v $PWD:$PWD -w $PWD ubuntu sh -c 'echo Hola > /dev/stderr'  
sh: 1: cannot create /dev/stderr: Permission denied

Removing the -u command option it works fine.

This issue make impossible to run that apps that use the /dev/stderr output stream to report warning messages or other info.