Pension income from Oklahoma

I have lived in Arizona now for three years. The Teachers' Retirement system, State of Oklahoma has withheld state tax of $120 but there in no entry in box 16.  I am retired and living in AZ.  Do I have to file a return for Oklahoma?   How do I enter this information.  Do I call OK and ask them not to withhold state tax?   What is the easiest solution?  Thank you for any assistance on this matter.