It depends. If one of you are performing services in Missouri, then yes, you will need to file a form MO-1065. You will all then need to file MO personal returns as you have MO source income. The two of you that live in AZ will need to file non resident returns.
If the MO member does not provide services in MO, then you will not do anything for the LLC in MO, only the member that lives in that state will need to report their share of the income from the schedule K for the state as a resident. Since the other two partners are not residents of the state, if their is no income earned in that state, they will not need to file.
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