Asynchronous vs Multithreading - Is there a difference?
Whenever the operation that needs to happen asynchronously does not require the CPU to do work, that operation can be done without spawning another thread. For example, if the async operation is I/O, the CPU does not have to wait for the I/O to complete. It just needs to start the operation, and can then move on to other work while the I/O hardware (disk controller, network interface, etc.) does the I/O work. The hardware lets the CPU know when it's finished by interrupting the CPU, and the OS then delivers the event to your application.
Frequently higher-level abstractions and APIs don't expose the underlying asynchronous API's available from the OS and the underlying hardware. In those cases it's usually easier to create threads to do asynchronous operations, even if the spawned thread is just waiting on an I/O operation.
If the asynchronous operation requires the CPU to do work, then generally that operation has to happen in another thread in order for it to be truly asynchronous. Even then, it will really only be asynchronous if there is more than one execution unit.
This question is darn near too general to answer.
In the general case, an asynchronous call does not necessarily create a new thread. That's one way to implement it, with a pre-existing thread pool or external process being other ways. It depends heavily on language, object model (if any), and run time environment.
Asynchronous just means the calling thread doesn't sit and wait for the response, nor does the asynchronous activity happen in the calling thread.
Beyond that, you're going to need to get more specific.
No, asynchronous calls do not always involve threads.
They typically do start some sort of operation which continues in parallel with the caller. But that operation might be handled by another process, by the OS, by other hardware (like a disk controller), by some other computer on the network, or by a human being. Threads aren't the only way to get things done in parallel.