It depends on the kind of income you have and what state. For example, some states have filing requirements based on "gross income," meaning income before subtracting for cost. So if you sold stock at a loss, you may still have to file because the "gross proceeds" were more than the state gross income threshold.
Some states also tax unemployment. If your federal income was $0 because up to $10,200 of your unemployment was exempt, you may have to file if unemployment is taxable in your state.