I have a s corporation in the state where I am not resident. This year we have business loss, We filed 1120s . Do we need to file that state individual income tax return?

It depends.

Most states do have a minimum filing threshold for filing a return as a nonresident but it does vary depending upon the state in question.  Please see why would I have to file a nonresident state return for more details.  The FAQ also has a link to each state website that you can use to determine whether you have a filing requirement as a nonresident.