No, it does not. But this is not much of a problem. Say you have foo_test.go, which includes a dependency of to foo/bar/baz. Now, this dependency will only be linked into the test binary go testcompiles on the fly. It will not be included into the "main" binary.
This is one advantage of Go - the compiler identifies what needs to be linked and using Go modules, he has a bill of material which not only defines the required dependency by name, but down to the very commit.
As written, think of the content of go.mod more like a bill of materials which are needed at one point or the other when working with the project and not like a set of instructions to build a fat JAR.
Side note: even maven dependencies typically do not go into the resulting JAR. Spring Boot does this, but that is NOT the default maven behavior; building skinny JARs is.