It pretty much depends. Each state in the US has different tax laws and depending on the state where you live, you may be required to file a State tax return.
Nine US states don’t impose any income tax on income – Alaska, Florida, Nevada, New Hampshire, South Dakota, Tennessee, Texas, Washington and Wyoming.
Remember that if you are shown that you should file a State tax return on Step 6 - State taxes though, you are obligated to do so if you wish to have clear records for your future visa applications.