Yes, you need to file an Illinois tax return, but your military income will be excluded.

Source: http://www.revenue.state.il.us/publications/pubs/pub-102.pd

If you had no income beyond your W2 for the military, you should not owe in Illinois unless you changed your Home of Residence (HOR) with Defense Department Form 2058.

When completing your tax return, you use your HOR as your resident state. When entering information in TurboTax, make sure you are entering the information for your home state every time you enter information about where you lived. It is easy to enter the wrong address when you actually live in another state. 

Here a few key places to confirm your HOR:

·       On the first screen of personal information, enter the zip code of your HOR, not your base

·       In Personal Information part 1, provide your HOR address

·       In Personal Information part 2, do not mark you lived in another state

For more information about the home state of military members, please see this helpful article:

https://ttlc.intuit.com/questions/1901517-what-is-my-military-state-of-residence

Also make sure you indicate your are active duty whenever prompted.