No, as per Illinois Revenue, if you are a resident of Iowa, Kentucky, Michigan, or Wisconsin who worked in Illinois, you only have to file Form IL-1040 and Schedule NR if:
- you received income in Illinois from sources other than wages, salaries, tips, and commissions (you must pay tax on this income regardless of residency) or
- you want a refund of any Illinois Income Tax withheld.
If you received compensation from Illinois employers, you are not required to pay Illinois Income Tax on this income. This is based on reciprocal agreements between Illinois and these states and applies only to compensation you received from wages, salaries, tips, and commissions. The reciprocal agreements do not apply to any other income you might have received, such as Illinois lottery winnings.
And since you did not have any Illinois tax withheld from your wages, you do not need to file a return in Illinois
http://tax.illinois.gov/QuestionsAndAnswers/12.htm
