[Edited on 1/17/2019 @ 3:32 PST]
No, if your only source of income is the military income then no need to file a state return. If you have other income you may need to file a state return. See the Illinois Department of Revenue link: http://tax.illinois.gov/QuestionsAndAnswers/100.htm
[Edited on 1/17/2019 @ 3:32 PST]
