After few seconds, I realized how I sucks and forget to set up the GOPATH and GOROOT variables.
With Homebrew, the base installation of Go rely under /usr/local/Cellar/go/1.1.2.
Simply set GOROOT to /usr/local/Cellar/go/1.1.2/libexec
In fact, you have to set GOPATH to the directory that contains the src directory that contains the source of go main packages.
Set GOPATH to whatever you want that is different from GOROOT.