Print your return and make sure you filed correctly and only reported income you think you have. If your return is ok, mail the requested proof to the state.
The state gets an electronic summary of the W-2 you typed in, and compares it with wage and income information provided to the state by your employer. It might be that the employer has not filed their information with the state, or there is a mis-match, or it might be a random check.
One common fraud in the past was to invent a fake job with lots of excess withholding so you show a big refund, and then by the time the state figures out the job and withholding were fake, the check is cashed and gone. So they are putting more up front effort into matching the wage information provided by taxpayers and their employers.
