I received a request for business income or loss verification. Should I send them everything they asked for?

I'm a part-time musician who made close to $9K last year and had expenses of about $2800 due to some new instrument purchases.  I've been working as a musician for six years but this year Illinois sent me a "Request for Business Income or Loss Verification" and they want me to send a copy of Schedule C, 1099-MISC forms, sales slips, ledger pages of income and expenses, etc.  Any reason I shouldn't send them all of this info?  They say if I don't I'll be audited.  I did purchase the audit protection from Turbotax.  Let me know.  Thanks.