Kenneth (the author of requests, employed by Heroku) has a different opinion (source):
In reality, serving static files through Python/Django is fine for
production — those requests are no different than dynamic ones.
Performance will be fantastic, but not as good as nginx.
If you're that heavily concerned about efficiency then you shouldn't
be hosting those files on your server anyway, you'd be pushing them to
an CDN like S3+Cloudfront and the like.
Another benefit to this approach is development:production parity.
And on heroku, you can't use Nginx to server static files, actually you can't do it on most other PaaS too, I got the same problem on cloud foundry last year. But there is a workaround:
On Heroku, your application directly responds to HTTP requests,
instead of going through an additional web server like Apache or
Nginx.
We recommend most applications serve their assets strait from Django
or a CDN.
Django doesn't recommend serving static files in production because of
the design of its static file handler.
Luckily, there is a library called DJ-Static which makes uses a
production-ready WSGI asset server.
I've written up a guide for Django and Static Assets here:
https://devcenter.heroku.com/articles/django-assets
Read the following discussions for more details:
Serving static files for a Django app
serving static files via gunicorn