With the development of sophisticated sensors and large database technologies, more and more spatio-temporal data in urban systems are recorded and stored. Predictive learning for the evolution patterns of these spatio-temporal data is a basic but important loop in urban computing, which can better support urban intelligent management decisions, especially in the fields of transportation, environment, security, public health, etc. Since traditional statistical learning and deep learning methods can hardly capture the complex correlations in the urban spatio-temporal data, the framework of spatio-temporal graph neural network (STGNN) has been proposed in recent years. STGNNs enable the extraction of complex spatio-temporal dependencies by integrating graph neural networks (GNNs) and various temporal learning methods. However, for different predictive learning tasks, it is a challenging problem to effectively design the spatial dependencies learning modules, temporal dependencies learning modules and spatio-temporal dependencies fusion methods in STGNN framework. In this paper, we provide a comprehensive survey on recent progress on STGNN technologies for predictive learning in urban computing. We first briefly introduce the construction methods of spatio-temporal graph data and popular deep learning models that are employed in STGNNs. Then we sort out the main application domains and specific predictive learning tasks from the existing literature. Next we analyze the design approaches of STGNN framework and the combination with some advanced technologies in recent years. Finally, we conclude the limitations of the existing research and propose some potential directions.