It really depends on what state you consider to be your resident state. Just because you own a home in a state does not mean you have to file a return there. Many people own second homes or vacation homes in different states.
The only states you need to file a return with are your resident state and any state where you have income from.
Your resident state is not determined by any one factor. It is really determined by what you consider your resident state to be. If you consider IL to be your resident state since you live there and work there full time, then you would not need to file a return with the state of AL. If AL were to ever question your true state of residency, they would look at things such as how much time you spend in each state, where your drivers license and car are registered, where you are registered to vote, where you maintain your bank accounts, where your children attend school, and things of that nature. If most are all of those things are applicble to you for the state of IL, then IL would be both your resident state and the state where your earnings are from, and you would not need to file a return with AL.
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Thank you melclark