I suppose Java had many years after C#'s introduction of closures to reflect on what went well and what did not. Go, created in 2007, predates both languages having lightweight closures. Not surprising that they made the decision they did.
Your comment inspired me to ask what Rust does in this situation, but of course, they've opted for both a different "for" loop construct, but even if they hadn't, the borrow checker enforces a similar requirement as Java's effectively final lambda limitation.