Yes. It doesn't matter that you do not materially participate in the activity. The income is sourced in that state, so unless they are one of the states with no income tax, you need to file a non resident tax return for that state. Although also taxable by the state you live in, they will give you a credit for tax paid to another state. You prepare you non-resident state first, and then prepare your resident state return, so that you the credit is calculated properly.