I invested in cryptocurrencies, however I didn't sell them. They are sitting in wallet, do I need to file tax returns? or tax returns are filed only after i sell them?

You only report the gains once you  sell them and they are realized ... you have nothing to report until then.

there's small caveat to this, if you bought crypto with broker and took crypto out of broker, that event is realized gain. for example you bought BTC for $1000 on coinbase, take crypto out of coinbase when it's at $10000 to wallet, $9000 is taxable, even if it's sitting on your offline wallet.

Do you have a 1099-B ? I thought the whole point of bitcoin was to avoid taxation.

i am wondering the same, i used crypto.com, i bought crypto but i never sold. Either way I cannot find a way how to get a 1099 from them, or IF, i have to get one... 

No, if you did not sell them or use them to purchase anything and they are just sitting there, you do not need to report them.  When you sell or use them, then you will get a 1099 for the transactions.  As long as they sit untouched in your wallet, there is not a reportable transaction.