As a nonresident of Maine, if your only activity in the state was a loss, you are not required to file a return. Per the 1040ME instructions:
"Who must file?... Generally, if you are
a nonresident or a “Safe Harbor” resident who has income from Maine
sources resulting in a Maine income tax liability, you must file a Maine
income tax return."
https://www.maine.gov/revenue/forms/1040/2018/18_1040me_book_dwnld_rev_3.6.19.pdf
Thus, if you have no other ME income which would result in a tax liability, you are not required to file a return in the state. If you have other income sourced from ME, you may need to file a return.
