Small business with no revenue but property out of country: should we file taxes in the US or in the country where the property is?

You would normally need to include the income on your US tax return, but since you said there is no income, then you have nothing to report. If the business owns assets and is incorporated or an LLC, then you may need to file a business tax return but if there was no revenue to report, it would not affect your personal tax return.

You would have to research the tax rules in the country the property is located in to determine what your tax filing obligation is there.