Co-routines are not necessarily faster than threads, but they yield to a performance improvement if one has to spin thousands of them : they have less creation overhead and consume less RAM.
This hardly matters when spinning up a few thousand threads. Only memory that's actually used is committed, one 4k page at a time. What is 10MB these days? And that is main memory, while it's much more interesting what fits in cache. At that point it doesn't matter if your data is in heap objects or on a stack.
Add to that the fact that Python stacks are mostly on the heap, the real stack growing only due to nested calls in extensions. It's rare for a stack in Python to exceed 4k.
Theoretically it makes no sense. A Task manager executing tasks in parallel to IO instead of blocking on IO should be faster... So the problem must be in the implementation.