If you lived in AZ all year, no, provided that no CA tax was withheld from the 1099-R. Although the retirement may be from when you worked for a California company, the retirement itself is only California sourced if you are living in California. Since you are not, California cannot tax your retirement.
If CA tax was mistakenly withheld, however, you would file a CA nonresident return with zero income to have all of your taxes returned to you.