After updating to netbeans 6.9 and having a look on the CDI tutorial I found out what went wrong:
I had a jar file which contained my Interceptor class. This jar was used by an EJB project. The InterceptorBinding was defined in the beans.xml of the ejb project. During the deployment the Weld-processor searches all jars that contain a beans.xml for injectable beans and interceptors. Unfortunately my Interceptor.jar did not contain a beans.xml file and so the interceptor was not detected. The solution was to create a beans.xml file to the Interceptor.jar.
Hope that this will help somebody.
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