A similar program on Windows is 3072 bytes. I compiled it using:

    rustc hello.rs -C panic=abort -C opt-level=3 -C link-arg=/entry:main

Here's the program:

    #![no_std]
    #![no_main]

    #[panic_handler]
    fn panic_handler(_panic: &core::panic::PanicInfo<'_>) -> ! {
        unsafe { ExitProcess(111) };
    }

    #[no_mangle]
    pub extern "C" fn main() -> u32 {
        let msg = b"Hello, world!\n";
        unsafe {
            let stdout = GetStdHandle(-11);
            let mut written = 0;
            WriteFile(
                stdout,
                msg.as_ptr(),
                msg.len() as u32,
                &mut written,
                core::ptr::null_mut(),
            );
        }
        0
    }

    #[link(name = "kernel32")]
    extern "system" {
        fn ExitProcess(uExitCode: u32) -> !;
        fn GetStdHandle(nStdHandle: i32) -> isize;
        fn WriteFile(
            hFile: isize,
            lpBuffer: *const u8,
            nNumberOfBytesToWrite: u32,
            lpNumberOfBytesWritten: *mut u32,
            lpOverlapped: *mut (),
        ) -> i32;
    }

I didn't bother much with the panic handler because there's no reason to in hello world. Though the binary contains a fair bit of padding still so it could have a few more things added to it without increasing the size. Alternatively I could shrink it a bit further by doing crimes but I'm not sure there's much point.

It may be worth noting that the associated pdb (aka debug database) is 208,896 bytes.