Did you have any Illinois-source income; for example did you work in Illinois or have rental income from a property in Illinois? Or did you move from IL to MN during the year?
If not, go back to the Personal Info section and make sure you entered MN as your State of Residence and that you didn't indicate that you had Other State Income from Illinois.
**Answers are correct to the best of my ability but do not constitute tax or legal advice.