I live in Nevada and sold a house in Arizona, do I need to file an Arizona state return?

Yes, you do. If you are a nonresident, you must report income derived from Arizona sources per AZ Department of Revenue https://www.azdor.gov/Portals/0/ADOR-forms/TY2016/10100/140NRBooklet.pdf

If you are in this state for a temporary or transitory purpose or did not live in Arizona but received income from sources within Arizona during 2016, you are subject to Arizona tax.

Income from Arizona sources includes the following:

• wages,
• rental income,
• business income,
• the sale of Arizona real estate,
• interest and dividends having a taxable or business situs, in this state, and
• any other income from an Arizona sources.

To file an Arizona nonresident income tax return, click on  How do I file a nonresident state return?