It sounds like you should. If New Jersey was your place of Domicile, then yes you should continue to file the New Jersey return.
Domicile: the place you consider your permanent home—the place where you intend to return after a period of absence (e.g., vacation, business assignment, educational leave). Domicile is based on many factors, including your intent, where you register to vote, maintain a driver’s license and vehicle registration, have family ties, etc.
For more information, please see: New Jersey Division of Taxation Webpage