Make use of MaskFormatter, for example...

MaskFormatter mf = new MaskFormatter("+# (###) ###-##-##");
mf.setValueContainsLiteralCharacters(false);
System.out.println(mf.valueToString("79991111111"));

which will output +7 (999) 111-11-11

Update

You should take a look at Googles libphonenumber - as formatting phone numbers does not have a simple solution

(ps - I've never used this before, this is all experimental on my part)

So, based on the documented examples, you could do something like...

// I had to add the `+` prefix, otherwise the parsing would fail
String input = "+79991111111";
PhoneNumberUtil phoneUtil = PhoneNumberUtil.getInstance();
try {
    Phonenumber.PhoneNumber phoneNumber = phoneUtil.parse(input, CountryCodeSource.UNSPECIFIED.name());
    System.out.println(phoneNumber);
    System.out.println(phoneUtil.format(phoneNumber, PhoneNumberFormat.INTERNATIONAL));
    System.out.println(phoneUtil.format(phoneNumber, PhoneNumberFormat.NATIONAL));
    System.out.println(phoneUtil.format(phoneNumber, PhoneNumberFormat.E164));
} catch (NumberParseException e) {
    System.err.println("NumberParseException was thrown: " + e.toString());
}

And this will print ...

+7 999 111-11-11
8 (999) 111-11-11
+79991111111

At this point you "should" be able to walk away, as these are using "standardised" formats, but, if you need to do something "special", you could make use of PhoneNumberUtil#formatByPattern, which might look something like...

String input = "+79991111111";
PhoneNumberUtil phoneUtil = PhoneNumberUtil.getInstance();
try {
    NumberFormat newNumFormat = new NumberFormat();
    newNumFormat.setPattern("(\\d{3})(\\d{3})(\\d{2})(\\d{2})");
    newNumFormat.setFormat("($1) $2-$3-$4");

    List<NumberFormat> newNumberFormats = new ArrayList<NumberFormat>();
    newNumberFormats.add(newNumFormat);

    String formatted = phoneUtil.formatByPattern(phoneNumber, PhoneNumberFormat.INTERNATIONAL, newNumberFormats);
    System.out.println(formatted);
} catch (NumberParseException e) {
    System.err.println("NumberParseException was thrown: " + e.toString());
}

and output something like...

+7 (999) 111-11-11

which, again, is probably as close as you will get.

Please also remember, formatting phone numbers is not simple as there are no real "standard" rules across all countries ... it's a mess

You can use capturing groups and then replace the string as the desired pattern.

Demo:

import java.time.Duration;
import java.util.stream.Stream;

public class Main {
    public static void main(String[] args) {
        String regex = "(\\d)(\\d{3})(\\d{3})(\\d{2})(\\d{2})";
        // Test
        Stream.of(
                "79991111111",
                "12345678901"
        ).forEach(s -> System.out.println(s.replaceAll(regex,"+$1($2)$3-$4-$5")));
    }
}

Output:

+7(999)111-11-11
+1(234)567-89-01

Notes:

1. There are 5 capturing groups in the regex pattern and each of them has been used with its position as a replaceable parameter in the replacement string.
2. \d represents a single digit and \d{3} represents three digits in the regex pattern.

Regex Demo

'... I need to get a phone number as a string "79991111111" and convert it to this type of string "+7 (999) 111-11-11". ...'

You can use the StringBuilder#insert method to insert a character into a String value.

StringBuilder string = new StringBuilder("79991111111");
string.insert(0, '+');
string.insert(2, " (");
string.insert(7, ") ");
string.insert(12, '-');
string.insert(15, '-');

Output

+7 (999) 111-11-11

Or, you could use a String#substring for each part of the value.

String string = "79991111111";
String[] strings = {
    string.substring(0, 1),
    string.substring(1, 4),
    string.substring(4, 7),
    string.substring(7, 9),
    string.substring(9)
};
string = "+%s (%s) %s-%s-%s".formatted(strings);

Output

+7 (999) 111-11-11

"... I tried to do it via regex, but i don't know how to change string with using regex"

You can use the String#replaceAll method to capture each group of numbers, and insert values between them.

Since the value will always be the same length, you can use the wildcard character ., and capture syntax ( ).

String string = "79991111111".replaceAll("(.)(...)(...)(..)(..)", "+$1 ($2) $3-$4-$5");