I live in Virginia and own rental property in Maryland. I have not made a profit on the rental. Must I file a Maryland income tax form?

Yes, you have to, Maryland goes by gross income, not net profit.  

You won't owe any taxes, but Maryland still wants a return.  

See link below for more detail.  

http://taxes.marylandtaxes.com/Individual_Taxes/Individual_Tax_Types/Income_Tax/Filing_Information/D...