For all newcomers who will fall in the error.

libsodium is a package contains C libraries. To make it fully works in go programs we need to install in windows MSYS2 and GCC following this guide https://www.msys2.org/

Then we need to install pkg-config and libsodium under MSYS2 using these commands on MSYS2 cli

pacman -S pkg-config
pacman -S mingw-w64-x86_64-libsodium

After that we have to add mingw64/bin and usr/bin in environment variable path, usually installed in these folders:

C:\msys64\mingw64\bin
C:\msys64\usr\bin

And now all should works fine!