Indeed, I had to input the local IP of my machine with "Debug server host for device". Thank you!
Then I got a NPE:
[21:36:12] <START> request:/index.android.bundle?platform=android
TypeError: Cannot read property 'root' of null
at /Volumes/Devdisk/Perso/ErwanReact/node_modules/react-native/packager/react-packager/src/DependencyResolver/crawlers/index.js:16:84
at tryCallOne (/Volumes/Devdisk/Perso/ErwanReact/node_modules/react-native/node_modules/promise/lib/core.js:37:12)
at /Volumes/Devdisk/Perso/ErwanReact/node_modules/react-native/node_modules/promise/lib/core.js:103:15
at flush (/Volumes/Devdisk/Perso/ErwanReact/node_modules/react-native/node_modules/promise/node_modules/asap/raw.js:50:29)
at doNTCallback0 (node.js:408:9)
at process._tickCallback (node.js:337:13)
I'm using a 2013 Moto X on Android 5.1.