Q. . Am I supposed to file an MA state income return?
A. No, since you do not physically work in MA, you have no MA source income*.
If you occasionally make business trips to MA, you may be required to file a MA non-resident return, but "nobody" does. See http://money.cnn.com/2013/06/28/pf/taxes/business-traveler-tax-threat/ If you live in a state without an income tax (e.g. FL or TX), it’s more likely you should file in the business trip work states. You can't use the "it all comes out even" rationale for not filing.
*For others reading this be advised that New York, Pennsylvania, Nebraska, Delaware and New Jersey have different rules for telecommuters working for companies located in those states. For guidance see: http://www.journalofaccountancy.com/issues/2009/jun/20091371.html
