No, you do not file a New York State tax return. Retirement income is taxed (if at all) in the resident state at the time it was received, regardless of the source or where you worked originally.
What you might have done is indicate that you had income from another state. You don't. Even though the Pension money might be coming from a former NY employer. Pensions are only taxable in the state you live in. So that's all NV income (and NV doesn't have a state income tax).
Access the question about Did you make money in any other states? in the Personal Info section. Please feel free to post any additional details or questions in the comment section.
Now, if your 1099-R form from that pension shows NY taxes withheld, then that's the problem, and you want to get that stopped. You would have to file a non-resident tax return in that case, just to declare zero NY income to get back the withholding.
