Besides, that's still only one function call. When you need to call many async things one after the other (that's what i meant by "chaining"), that nested callback-based code becomes much much convoluted than the analogous "normal" return-based code.
With promise monads  or some sort of language transformation that lets you write code that looks sequential but then is transformed into chained callbacks, you can basically get rid of all those extra callback functions and their associated complexity (i.e. all the mangled "success" and "error" callbacks from chained async functions) and have code that looks normal function calls one after the other. Notice that pufuwozu's example had three consecutive async calls, but it didn't need to create all the callback functions to pass between the calls.