There is no rule that requires you to report the same amount of exemptions on your Federal and State W-4 forms. By entering zero on both of these forms, you will have a higher amount withheld from your paycheck. If you'd also like to have a higher amount withheld from your paycheck for state tax purposes, then you should also enter a zero on the state form.
You can talk to your human resources department to verify the exact amount that will be withheld for certain exemption numbers reported on Forms W-4.
