Maple 2018 solves the ODE under consideration:

    dsolve(((D@@2)(w))(r)+(D(w))(r)/r-k^2*w(r) = -g(r))
$$w \left( r \right) ={{\ I}_{0}\left(kr\right)}{\it \_C2}+{{ K}_{0
}\left(kr\right)}{\it \_C1}-\int \!{{ K}_{0}\left(kr\right)}g
 \left( r \right) r\,{\rm d}r{{ I}_{0}\left(kr\right)}+$$ $$\int \!{
{ I}_{0}\left(kr\right)}g \left( r \right) r\,{\rm d}r{{ K}_{0}
\left(kr\right)}
 $$

The assumption $w(r)$  decays exponentially fast implies the constant ${\it \_C2} $ equals zero because of

    asympt(BesselI(0, k*r), r, 2)
$$\frac 1 2\,{\frac {\sqrt {2}\sqrt {{k}^{-1}}{{\rm e}^{kr}}\sqrt {{r}^{-1}}}{
\sqrt {\pi}}}+O \left(  \left( {r}^{-1} \right) ^{3/2} \right)
 $$

and

    asympt(BesselK(0, k*r), r, 1)
$$\frac 1 2\,{\frac {\sqrt {2}\sqrt {\pi}{{\rm e}^{-kr}}\sqrt {{r}^{-1}}}{
\sqrt {k}}}+O \left(  \left( {r}^{-1} \right) ^{3/2} \right)
 $$

 Hope that would be useful.

Addition. The Mathematica 11.3 command

    AsymptoticDSolveValue[ D[w[r], {r, 2}] +D[w[r], r]/r - k^2*w[r] == -Exp[-k*r]/Sqrt[r],w[r], 
    {r, Infinity, 1}, Assumptions -> k > 0]

disproves the suggestion of the question. See the long output here https://www.dropbox.com/s/on0jz2kpb7bin7l/AS.pdf?dl=0 and pay your attention to the term $\frac{\sqrt{r}}{2 k} $.