The problem is that main() does not wait for other tasks to finish, so we need to tell it to wait for them. For example using asyncio.gather():

import asyncio
from binance.client import AsyncClient

async def get_data(client):
  res = await client.get_klines(symbol='BTCUSDT', interval='15m', limit=99)
  print(res)

async def main():
  client = await AsyncClient.create()
  await asyncio.gather(
    get_data(client=client)
  )

asyncio.run(main())