Coat chopped butternut squash with olive oil on a sheet pan and roast at 400 degrees for 20-30 minutes, or until soft and beginning to brown.
In a large pot on medium heat, saute chopped onions and carrots in oil (or broth) for about 5 minutes. Add garlic and cook for 2 more minutes, until fragrant.
Stir in sage, salt, pepper, and cayenne pepper.
Add coconut milk and broth. Simmer on medium heat until everything is cooked through and soft. When butternut squash is finished roasting, add to cooking pot.
Use blender or immersion blender to puree soup until smooth. Taste to see if you need more sage, salt, or pepper.