(I come from OCaml, but I looked over the relevant F# stuff and it seems the same. Correct me if I'm wrong.) They are the same, just different terminology for the same thing, but there are a few syntactical differences. For example, to define a constructor with multiple data elements, in OCaml and F# you write the type as if they were stuffed in a tuple:
Haskell:
data Whatever = Foo TypeA TypeB
OCaml / F#:
type whatever = Foo of typeA * typeB
Similarly, to pattern match on it, you similarly act like a single argument that is a tuple with all the data members stuffed inside:
Haskell:
case x of Foo a b -> ...
OCaml / F#:
match x with Foo (a, b) -> ...
Edit: apparently the following does not apply in F#
Also, in Haskell the constructor automatically becomes a function that you can use by itself like any other value:
zipWith Foo xs ys
OCaml/F# don't do this. You could manually define your own functions for each constructor.