As mentioned in issue 397:
This is intended. We do not ship pacman with Git for Windows.
If you are interested in a fully fledged package manager maintained environment you have to give the Git for Windows SDK a try.
The bash that you see in the latest git for Windows (2.5.3), which is a more recent bash than the old msysgit one, is only there to execute git commands.
It is not a full-fledged linux environment to install any third-party package.
Warning: dhj reports in the comments
Do not link your existing git for windows with the msys2 main system by using a directory junction.
If you uninstall it will decide that linked directory belongs to it and DELETE YOUR ENTIRE HOME DIRECTORY including sub-directories like “Downloads”.
Beware dealing with msys2.I don’t know if the same is true for the git for windows SDK, but BE CAREFUL trying to get pacman from other systems integrated with git for windows.