It's not just CPU - memory usage is also higher. In particular, idle connections still consume signficant memory, and this is why PostgreSQL has so much lower connection limits than eg. MySQL. Pooling can help in some cases, but pooling also breaks some important PostgreSQL features (like prepared statements...) since poolers generally can't preserve session state. Other features (eg. notify) are just incompatible with pooling. And pooling cannot help with connections that are idle but inside a transaction.

That said, many of these things are solvable without a full switch to a threaded model (eg. by having pooling built-in and session-state-aware).