Generally yes, if you have rental income in Montana, you would need to file a return to show the expenses that reduce your income even if it is negative. If your income is was lower than your filing threshold for Montana you will not need to file.
Montana uses your federal wages, then makes adjustments from there. If your federal income from the rental is showing as $0, then you would not need to file a Montana return.
If your federal income was showing profit from the rental property and you needed to make adjustments to lower the income with Montana deductions, then you would need to file a Montana return to claim the deductions that would lower the income.
(Edited 4/4/23 @1:03PM PST)
Thanks! What is confusing is that in Turbo Tax, it asks for what amount of rental income from my federal form is for the state of Montana. My federal return shows $0 in rental income for that property. Turbo Tax is not asking what the gross revenue and deductions are. Do I need to enter that somewhere on the Montana form?
You wouldn't report the rent income and expenses separately on your Montana return. If the net rental income is $0, then that is what will show on your Montana return. It seems a little technical, but you may be required to file the Montana return even though your net rental income is $0, as they can always look on your federal return to see your schedule E to verify how the state income was arrived at.