My husband and I are both retired from State of Illinois. Do we have to file Income tax returns

[Vanessa]

It depends.  If you have taxable pensions and taxable social security then you would need to file if your taxable income is greater than $24,000 ($26,600 if you are both over 65)

Social security is up to 85% taxable if you are married filing separate or if 1/2 of your social security plus your other income is over $32,000 when filing a joint return.

https://www.ssa.gov/planners/taxes.html