You didn't say what state. A lot of state forms are not yet ready for efiling or printing. You can look up your state's form availability with this tool:
Tax Form Availability Tool
Also be aware that if you efiled the Federal return separately before the state return, then you cannot efile the state return until after the Federal return has been accepted. The IRS will open up for processing on January 27. Until then, any returns efiled this early would just sit on TurboTax servers, except for a few returns that the IRS pulls early for testing purposes. And if you discover a mistake, additional W-2, 1099, etc., you cannot retrieve the filed return.