I do not know how it is

I do not know how it is implemented on Xeon Phi,but on Intel CPUs performance counters are not pinned to specific OS thread although they can be set to track user or kernel mode activity.For example when you are measuring performance of some application(process) then OS scheduler decides to swap out your thread which is currently monitored and the other unrelated thread is scheduled to run on the same core so in such a situation performance counter will record events generated by different process.You can set affinity to specific core and run set your thread's priority to very high in order to prevent swapping out.Still it is related to Windows and to general purpose CPU.It is the job of VTune to resolve addresses(tracking IP ) of currently executing thread.