As active duty military, we don't owe Arizona state taxes, so do we still have to file?

[DanaB27]

No, you do not need to file a Arizona state return if your military income was your only income.

"You must file if you meet the Arizona filing requirements unless all the following apply to you:

• You are an active duty member of the United States armed forces.
• Your only income for the taxable year is compensation received for active duty military service.
• There was no Arizona tax withheld from your active duty military pay.

If Arizona tax was withheld from your active duty military pay, you must file an Arizona income tax return to claim any refund you may be due from that withholding.

You must also file an Arizona income tax return if you have any other income besides compensation received for active duty military pay and you meet the filing requirements." (Pub 704)

Please see Pub 704 - Taxpayers in the Military for additional information.