Actually, green threads are much faster at context switching than native threads. They also consume less heap space for (if it's growable) stack.
Native threads are natively supported by the OS, so managing them requires calls to the OS, the main reason why it's slow. However, it comes with a few advantages. The main advantage of native threads is that they are preemptive - they can be scheduled based on ticks (i.e. number of microseconds spent running the thread), even if they are in the middle of a loop. Also, they can be run on different CPUs, the OS takes care of all CPU flags/registers/etc., they are actual OS structures, ...