Each state has its own laws about what income is "source" income in that state and is therefore taxable in that state.
Evidently, your employer thinks that the income you earned in MA is taxable in MA, so they withheld taxes to pay the MA tax. You should file in both states.
Generally, unless the states have a reciprocity agreement (and CA and MA don't), in TurboTax, you file the non-resident state first, then you file your residence state (CA in your case). This allows the home state to deduct taxes paid in the other state so that you are not double taxed.
