I have lived in Michigan as an unemployed for 9 months and I moved to Illinois, I lived and worked in Illinois. Do I need to file my state tax returns in both the states?

I have W2 from Illinois and I don't have any W2's as I haven't worked in Michigan.

Michigan (01/01/2017 to 09/04/2017) Unemployed, Lived and moved to Illinois (09/05/2017 to 12/31/2017) Employed and Living