To build from Linux to Windows, you need to set the environment variables GOOS to Windows and GOARCH to amd64.
On Bash or ZSH:
GOOS=windows GOARCH=amd64 go build
For more details see: https://dave.cheney.net/2015/08/22/cross-compilation-with-go-1-5
A description of possible values for GOOS and GOARCH is available here: https://golang.org/doc/install/source#environment
If your package requires CGO then you need to use the mingw-w64 compiler:
sudo apt-get install gcc-multilib
sudo apt-get install gcc-mingw-w64
GOOS=windows GOARCH=386 \
CGO_ENABLED=1 CXX=i686-w64-mingw32-g++ CC=i686-w64-mingw32-gcc \
go build