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If your business a Partnership, S Corp or C Corp then you will need to file a tax return to avoid penalties. If you are a Sole Proprietor and had no assets then you could just report it as part of your personal with all 0's.
If it is a final tax return for partnership, S Corp or C Corp then you need to file and indicate it is a final return and close it out so the IRS will not request future returns.
I hope this helps, and if so kindly accept or let me know if you have any more questions.