Found it. In unreal engine async functions are called “latent functions”. And you define them like:
UFUNCTION(BlueprintCallable, Category = "Online|Hello|hello", meta = (Latent, LatentInfo = "LatentInfo", Duration = "0.2"))
static void Hello(FString Message, struct FLatentActionInfo LatentInfo);
Searching for this in the docs gives more information.
A good example is the Delay function from the kismet system library.