That's too broad a question. There are over 40 states. Each state has its own filing requirements.
What state is it? If you name your state and your basic situation, someone familiar with it may be able to help you determine if you need to file one or not. It would have been good to have put that in your question title to attract attention of someone familiar with that state. You can add it, if you wish, by clicking the 3-dot icon just to the right of your question title and choosing EDIT in the dropdown menu.
And are you a resident of the state in question, a part-year resident, or non-resident of the state?
And why do you seem surprised that it's mentioning a state return? Do you live in one of the few states with no state income tax like Florida, and it's still mentioning a state return? Again please name the state and what you are experiencing.
