It depends on whether you earned income or not in either state.
Just owning property in AZ, if you haven't actually moved would not create a requirement of file an AZ tax return.
If you moved to AZ, but not into your new property, and you earned income in AZ you would have to file a Part-year Resident AZ Tax Return.
It doesn't look like, from your question, that you were an actual resident of AZ in 2016. However, if you were physically present in AZ and earned income there you would at least have to file a Non-Resident tax return.
