I'm not saying that the threaded approach is better, but that almost everyone comes around with some theoretical statement but nobody seems to care to find hard evidence.
The slide deck that bysin linked above is pretty good:
http://www.mailinator.com/tymaPaulMultithreaded.pdf
This is by Paul Tyma, who at the time worked on Google's Java infrastructure team with Josh Bloch and other people who know what they're doing. Apparently he found threads to be faster in a number of benchmarks.
Ultimately which is actually faster will always depend on your use case. Unfortunately this means that general benchmarks aren't all that useful; you need to benchmark your system. And you aren't going to write your whole system both ways in order to find out which is faster. So probably you should just choose the style you're more comfortable with.
Async is kind of like libertarianism: It works pretty well in some cases, pretty poorly in others, but it has a contingent of fans who think they've discovered some magic solution to all problems and if you disagree then you must just not understand and you need to be educated.
(Note: The code I've been writing lately is heavily async, FWIW.)
Every second:
1. Open 40 connections to the server.
2. For all open connections, send one byte.
Repeat indefinitely.
Steady state would be reached at 4,800 open connections. At 1 byte of actual data per second per connection, data plus TCP overhead would use around 200KB/s of bandwidth. The server would have to run 4,800 threads to handle this load. Depending on memory usage per thread, this could exhaust the server's RAM.
There are ways to mitigate this simple example attack, but the only way to defend against more sophisticated variants is to break the one-thread-per-connection relationship.