There are two basic reasons that that Java is faster than Go and C++, and can be faster than C in many cases:
1) The JIT compiler. It can inline virtual function calls through multiple levels, even with OO classes, based on the runtime profile. This is not possible in a statically compiled language (although the newer re-compilation based on recorded profile can help). This is very important to most benchmarks that involve repetitive algorithms.
2) The GC. GC based memory allocation is nearly free, as compared to malloc. And the 'free' penalty can be amortized across the entire runtime - often skipped because the program terminates before all garbage needs to be collected.
There are hundreds (thousands?) of extremely talented developers making the GC/JVM efficient. Thinking you can "code better than all of them" is a folly. It is a human ego problem at its heart - humans have a hard time accepting that with proper training by talented humans, the computer is going to perform better than the humans that programmed it.
Btw, C++ can be as fast as C if you don't use and of the OO features, but then you are pretty close to just programming in C to begin with.
Most importantly, the "speed differences" in these tests are usually meaningless. The IO costs are orders of magnitude more than the performance differences, and so proper designs that minimize IO costs always win - even in a interpreted language. Very few systems are CPU bound.
As a final note, people refer to the "computer language benchmarks game" as a "scientific measure". The tests are completely flawed, For example, if you view the Java tests for nbody. When I run the tests on the same OS/hardware, I get roughly 7.6 secs for Java, and 4.7 secs for C - which is reasonable - not the 4x slowness the tests reports. It is click-bait, fake news, designed to generate site traffic.
As a final, final note... I ran the tests using Go, and it was 7.9 secs. The fact that when you click on Go, it compares it to Java, and when you click on Java it compares it to C, should be a red flag to any serious engineer.
For a real world comparison of Java, Go, and C++ see https://www.biorxiv.org/content/10.1101/558056v1 spoiler alert, Java comes out on top in raw performance, with Go coming out on top with combined memory use and wall time.