Do I need to file income tax in New Mexico even if I do not owe money or a refund if I am a non-resident but received New Mexico Unemployment payments for the year?

According to the New Mexico Taxation website it says that if someone receives any money whatsoever from New Mexico they must file a state tax return. I am no longer a resident but received Unemployment benefits for the year. TurboTax State software indicates I owe Zero and no Refund for New Mexico.  So, do I need to submit the state return or not?