I think I know part of the answer. I tried to summarize my understanding of the differences, in order of importance, between asyncio tasks and goroutines:

1) Unlike under asyncio, one rarely needs to worry that their goroutine will block for too long. OTOH, memory sharing across goroutines is akin to memory sharing across threads rather than asyncio tasks since goroutine execution order guarantees are much weaker (even if the hardware has only a single core).

asyncio will only switch context on explicit await, yield and certain event loop methods, while Go runtime may switch on far more subtle triggers (such as certain function calls). So asyncio is perfectly cooperative, while goroutines are only mostly cooperative (and the roadmap suggests they will become even less cooperative over time).

A really tight loop (such as with numeric computation) could still block Go runtime (well, the thread it's running on). If it happens, it's going to have less of an impact than in python - unless it occurs in mutliple threads.

2) Goroutines are have off-the-shelf support for parallel computation, which would require a more sophisticated approach under asyncio.

Go runtime can run threads in parallel (if multiple cores are available), and so it's somewhat similar to running multiple asyncio event loops in a thread pool under a GIL-less python runtime, with a language-aware load balancer in front.

3) Go runtime will automatically handle blocking syscalls in a separate thread; this needs to be done explicitly under asyncio (e.g., using run_in_executor).

That said, in terms of memory cost, goroutines are very much like asyncio tasks rather than threads.

In Python terms, the event loop is built into Go. You would launch two goroutines with go async_say(...) and wait for them to complete, for example using a channel or a wait group.

A straightforward translation of your code to Go could look like this:

package main

import "fmt"
import "time"

func async_say(delay time.Duration, msg string, done chan bool) {
    time.Sleep(delay)
    fmt.Println(msg)
    done <- true
}

func main() {
    done1 := make(chan bool, 1)
    go async_say(4 * time.Second, "hello", done1)
    done2 := make(chan bool, 1)
    go async_say(6 * time.Second, "world", done2)
    <-done1
    <-done2
}

Note that, unlike Python (and JavaScript, etc.), Go functions do not come in different colors depending on whether they are asynchronous or not. They can all be run asynchronously, and the equivalent of asyncio is built into the standard library.