this is true for compiled languages as the ones you mention, but generally does not apply to Python, which as an interpreted language tends to add CPU overhead for even the smallest tasks.
You should add that you mean just databases. I've just looked at your profile and as I understand it's your focus.
I built a service that was making a lot of requests. Much enough that at some point we've run out of 65k connections limit for basic Linux polling (we needed to switch to kpoll). Some time after that we've ran out of other resources and switching from threads to threads+greenlets really solved our problem.