For the IRS, you are only required to file a return if you have income or expenses, or the business is engaged in active and ongoing trade or business activities.
Your state might be asking for a registration fee, or they might be asking to see a tax return, or both. If you owe fees, you need to pay them, and then formally close the LLC, I suspect. For taxes, it should be sufficient to tell them that you never actually had any income or expenses. You might have to send copies of your federal tax returns showing that you did not include your business on your tax return.
