1) Your visa may depend on it. You may need to file Federal and State Income tax returns to remain in compliance with US Immigration laws.
2) Everyone working in the United States must file income tax returns with both the United States and State government if you have earned enough money and meet the filing threshold.
3) Both the governments of the United States and of the State where you worked could have money of yours that you are entitled to receive as a tax refund. Just because your employer withheld the money from your pay doesn’t mean you can’t get all or part of that money returned to you as a tax refund.