I have rental property in state of CT. I was not prompted to file a CT return - do I need to? There is no income as it was a net loss.

Although you do not make any profits from the rental, as long as you receive any rental income, you will still need to file a CT nonresident tax return to show the government how to generate a rental loss.  

For filing requirements, see

http://www.ct.gov/drs/cwp/view.asp?a=1462&q=271508