What version of Go are you using (go version)?

$ go version
go version go1.15.6 linux/amd64

Does this issue reproduce with the latest release?

Yes.

What operating system and processor architecture are you using (go env)?

$ go env
GO111MODULE=""
GOARCH="amd64"
GOBIN=""
GOCACHE="/home/lenni/.cache/go-build"
GOENV="/home/lenni/.config/go/env"
GOEXE=""
GOFLAGS=""
GOHOSTARCH="amd64"
GOHOSTOS="linux"
GOINSECURE=""
GOMODCACHE="/home/lenni/go/pkg/mod"
GONOPROXY=""
GONOSUMDB=""
GOOS="linux"
GOPATH="/home/lenni/go"
GOPRIVATE=""
GOPROXY="https://proxy.golang.org,direct"
GOROOT="/usr/lib/go"
GOSUMDB="sum.golang.org"
GOTMPDIR=""
GOTOOLDIR="/usr/lib/go/pkg/tool/linux_amd64"
GCCGO="gccgo"
AR="ar"
CC="gcc"
CXX="g++"
CGO_ENABLED="1"
GOMOD="/home/lenni/git/easy-copy/go.mod"
CGO_CFLAGS="-g -O2"
CGO_CPPFLAGS=""
CGO_CXXFLAGS="-g -O2"
CGO_FFLAGS="-g -O2"
CGO_LDFLAGS="-g -O2"
PKG_CONFIG="pkg-config"
GOGCCFLAGS="-fPIC -m64 -pthread -fmessage-length=0 -fdebug-prefix-map=/tmp/go-build575804832=/tmp/go-build -gno-record-gcc-switches"

What did you do?

I created a small CGo Program which compiles on Windows:

// +build windows

package main

//#include <conio.h>
//#include <stdio.h>
import "C"

import "fmt"

func main() {
	ch := Getch()
	fmt.Printf("I got a %c\n", ch)
}

func Getch() rune {
	var ch int = int(C.getch())
	return rune(ch)
}

I am using Linux archlinux 5.9.14-arch1-1 #1 SMP PREEMPT Sat, 12 Dec 2020 14:37:12 +0000 x86_64 GNU/Linux.
When I compile this using

GOOS=windows GOARCH=amd64 CGO_ENABLED=1 CC=/usr/bin/x86_64-w64-mingw32-cc go build main.go

I get an executable that runs as expected (for reference, getch() reads a single keypress without having to press enter).
If I replace the CC= with CC_FOR_windows_amd64, as mentioned in https://golang.org/cmd/cgo/#:~:text=When%20cross-compiling%2C%20you,run%20the%20go%20tool :

GOOS=windows GOARCH=amd64 CGO_ENABLED=1 CC_FOR_windows_amd64=/usr/bin/x86_64-w64-mingw32-cc go build main.go

The build fails with

# runtime/cgo
gcc: error: unrecognized command-line option ‘-mthreads’; did you mean ‘-pthread’?

So it looks like my linux gcc is called (which knows -pthread) instead of the mingw gcc (which knows -mthreads).

What did you expect to see?

Both commands work equally (the one with CC as well as the one with CC_FOR_windows_amd64 specified).

What did you see instead?

go build with CC specified works as intended. go build with CC_FOR_windows_amd64 fails because it uses the wrong c compiler.