Congratulations on your retirement!
If you moved to a new state during 2021, you'll normally file a part-year return for each state you lived in during 2021, assuming the state(s) collect income tax. Washington state does not collect income tax. You will need to file a part-year resident tax return in New Mexico if you meet any of the following conditions:
Any retirement account distributions received during your New Mexico residency will be considered New Mexico sourced income.