The "do something while waiting for something else" is not a reason to use async. That's why blocking system calls and threads exist.
Threads don't need to be expensive. Max stack usage can be determined statically before choosing the size when spawning a thread.
Any other reasons?
The only way I have heard threads are expensive, in the context of handling many io requests, is stack usage. You can tell the os to give less memory (statically determined stack size) to the thread when it's spawned, so this is not a fundamental issue to threads.
Time to transfer data to one thread is related to io speed. Why would this have anything to do with concurrency model?