That's too broad a question. There are over 40 states. Each state has its own filing requirements.
What state is it? If you name your state and your basic situation, someone familiar with it may be able to help you determine if you need to file one or not. It would have been good to have put that in your question title to attract attention of someone familiar with that state. You can add it, if you wish, by clicking the 3-dot icon just to the right of your question title and choosing EDIT in the dropdown menu.
And are you a resident of the state in question, a part-year resident, or non-resident of the state?
And why do you seem surprised that it's mentioning a state return? Do you live in one of the few states with no state income tax like Florida, and it's still mentioning a state return? Again please name the state and what you are experiencing.
@ johnicd
Oh my goodness. I just found an old thread of yours from last year or earlier where you said you do not live in the USA. If that's the case, do you still live outside the USA? That's important information you should have put in your question, or the details box right under it. The better you explain your situation, the more likely you are to get help in this forum from someone familiar with your issue..
Please explain your situation in full including which state you are referring to. But don't post any personal info in this public Internet forum.
And how are you classified for tax purposes? What is your citizenship status? Are you a US citizen, a resident alien for tax purposes, a non-resident alien, etc.?
We can probably find someone to help you in this forum
Or if necessary, we can tell you how to contact TurboTax Support (probably through Twitter or Facebook if you are outside the USA, unless you can phone 800 numbers in the USA).