Technically you should file an extension, but since you do not owe any NJ tax there is no need to do so. If you file a federal extension you do not need to file a NJ extension. There does not seem to be any way to file a NJ extension online unless you are making a payment with the extension. That indicates that they really do not expect you to file an extension if you don't owe any tax. The bottom line is that you do not have to file a NJ extension.
