I think the correct answer to this question is "it depends", particularly if your move out of the country was recent. Be sure you have no ties to your former state that might cause it to regard you as still a resident. Also, most states will require you to file a tax return if you still have income sourced within that state.
You probably will not have to file a state return if you have no financial ties to your old state, but be aware: many states use the concept of “leaving and landing”.
Virginia and New York are examples. Leaving a state may not be enough to be considered a non-resident. You must take the extra step of becoming a permanent resident elsewhere.
You may not have financial ties to your old state, but you may have other connections such as holding a driver’s licence or spending substantial time in your old state.
In the blog “Virginia Residency and Income Tax Requirements”, CPA and Tax Senior Manager Terry Barrett of Keiter CPAs explains:
In Virginia, a simple declaration of a change in domicile is insufficient to relieve a domiciliary resident of Virginia income tax requirements. Changing one’s domicile is in fact a two-step process.
Step 1
First, the person must intend to abandon his Virginia domicile and have no intention of returning to the Commonwealth.
Step 2
Second, that person must acquire a new domicile where he or she is physically present with the intention to remain there permanently or indefinitely.
Another example
The California Franchise Tax Board, in its publication “2019 Guidelines for Determining Residency Status” offers this example:
You are a California resident. You agreed to work overseas for one year. You returned to California after the employment contract expired and stayed for three months. Then, you signed another contract with the same employer to work overseas for another year.
You cannot be considered a non-resident under the safe harbour rule because your absence from California for employment reasons was not for an uninterrupted period of at least 546 consecutive days.
It’s certainly possible you can prove a permanent change of residency during an audit, but keeping any ties with your old state could lead to a tax examination. It's important to both leave your old location and land in a new one.