If your employer was located in most other states, you would only have to file a return in your resident state, because most states agree that you pay tax to the state where you were physically located when you performed the work.
Unfortunately, NY state taxes many telecommuters. See this link to the The New York Department of Taxation and Finance. The idea is that unless you are working in Massachusetts for the convenience of the employer, you are taxed as if you work in NY as a nonresident. Read the information in the link, because they show other possibilities that could apply to you.
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