We have a LLC registered in New Mexico. We are not US citizens neither resident in the US. Do we have to file tax returns in the US?

@1health-one-dev  generally yes.  The entity is an US entity, not disregarded and has to pay taxes on world income.  Generally , with only foreign partners, there should be a US agent whom would be responsible  for filing and paying taxes.   See here -- Helpful hints for partnerships with foreign partners | Internal Revenue Service

Also note that many of the gulf countries do not have tax treaty with the USA.

Is there more I can do for you ?

It depends upon what type of entity you are referring to.

If you are referring to the LLC, it will depend upon how it is set up.  If it is a single-member LLC, the filing requirements would be different than if the LLC has several members and is operating as a multimember LLC.  For the actual LLC as business, the foreign LLC may need to file a gross receipts tax within New Mexico.

If the LLC is a single member LLC, you would need to report this activity on a Schedule C as part of your 1040NR.  A New Mexico nonresident state tax return is also required for any person/entity earning any income within New Mexico.  While TurboTax does not support this form, Sprintax can be used to prepare the nonresident forms.

If the LLC is a multimember LLC, you would need to file a partnership, S-corporation, or C-corporation tax return based upon how your LLC elected to be taxed.  Please see this link for additional information.