This appears to be a legit URL. They are probably asking because they have some reason to believe that someone has filed a fake return in your name to get a fake refund. This happens on the federal level a lot and people get letters from the IRS all the time asking for them to confirm who they are.
However, there is absolutely no harm in doing what BrandiLO suggests and calling the state - indeed, you may be able to confirm your identity over the phone with the state (ask them).
