I work in & live in Va but employer is based in Kentucky & took Ky taxes out of my paycheck and KY is is listed on the W2. Do i need to file a return for Va and Ky?

I work in & live in Va but employer is based in Kentucky & took Ky taxes out of my paycheck and KY is is listed on the W2. Do i need to file a return for Va and Ky?