In the accepted answer the ConcurrentBag is not required. Here's an implementation without it:
var tasks = myCollection.Select(GetData).ToList();
await Task.WhenAll(tasks);
var results = tasks.Select(t => t.Result);
Any of the "// some pre stuff" and "// some post stuff" can go into the GetData implementation (or another method that calls GetData)
Aside from being shorter, there's no use of an "async void" lambda, which is an anti pattern.