Async code, down in the "guts" of the system, will borrow user-level and OS-level threads, so while it's correct that it does use threads, it won't spawn off new ones. Spawning off a new thread ultimately wouldn't accomplish much (after all, why not have IIS just use a new one?).

I like to think of it as utilizing the operating system more efficiently. I/O on a system is asynchronous by default. Async code will essentially delegate work so the OS can do what it does best!