State Taxes for an LLC

I co-own a 4 member LLC that registered in Nevada. In our registration we used the majority owner's address in Illinois because we don't have a building that we work out of. Our business is online and hasn't made any profit outside of donations. 
All of that being said: Do we have to file state taxes in Illinois, Nevada, both, or neither? I ask because our EIN shows Illinois as our address but we are still registered in Nevada, but we don't actually have a physical location.  Please help!