It could be that nginx is more efficient at static file serving, but that'd be down to being specifically designed and optimised for it rather than some "sync vs async" thing.
From a Go programmer's perspective, this looks like "blocking a thread", but because goroutines are relatively lightweight in comparison to actual threads, it behaves similarly resource-wise to callback-based async IO. (Although yes, nginx is likely optimised so that it throws out data earlier than Go can free stack space and so can save some memory. Exactly how much is up to benchmarking to find out.)
Basically, the only differences between Go and e.g. a libev-based application as far as IO is concerned is a different syntax - the event loop is still there, just hidden from the programmer's point of view.
Note that this doesn't mean you shouldn't put nginx in front of Go to serve static files - nginx is likely more optimised for the job than Go's file server, might handle client bugs a little better, is more easily configurable (e.g. you can enable a lightweight file cache in just a few settings), you don't have to mess around with capabilities to get your application listening on port 80 as a non-root user, and so on and so forth.
This is why systems like aio[1] exist, though afaik most systems tend to solve this with a thread pool rather than aio, which can be very complicated to use properly.