Yes, you must file an MD return reporting the rental income/expense/loss.
Residential rental real estate will practically always operate at a loss "ON PAPER" at tax time every single year. Especially if there's a mortgage on the property. But in the year you sell the property you will have a taxable event - which is possible even if you sell at what you "think" may be a loss. Therefore you are required to report your rental property regardless of having a gain or a loss.
As a special note, if your resident state taxes personal income then save completing your resident state return for last. Otherwise, the program may not correctly take into account any reciprocal tax agreements that may exist between your resident state, and the non-resident state of MD.
