Yes, if you reported capital gains on your Federal return for selling the Wisconsin property, you will also report it on a nonresident Wisconsin tax return.
Prepare the nonresident return before preparing your Arizona resident return. Follow the prompts in the Wisconsin state return in TurboTax to identify which income from your Federal return is sourced in Wisconsin.
See this FAQ page on the Wisconsin tax agency's website.
See also this TurboTax article on multiple-state situations.
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