Yes - You must file an IL S-Corp return, even though you had no profit last year, because you are required to file a federal 1120S return. Seeking and receiving S corp status obligates you to file an annual tax return. Even though S-corps pay no taxes, they must still file a return using Form 1120S to document their profits and losses.
According to the IL Department of Revenue:
You must file Form IL-1120-ST, Small Business Corporation Replacement Tax Return, if you are a small business corporation (S corp), as defined in Internal Revenue Code (IRC), Section 1361(a), that
- has net income or loss as defined under the Illinois Income Tax Act (IITA) or
- is qualified to do business in the state of Illinois and is required to file U.S. Form 1120S (regardless of net income or loss).
Your S-Corp comes under the second requirement.