We're retired and moved to MS from IL are we required to file MS taxes?

Was the move in 2020?  You probably need to file part year resident returns in both states.

However, MS exempts Social Security and most types of retirement income.  Do you have interest or other investment income?  

80100201.pdf (ms.gov)

You might want to file just an initial MS return as proof that you established residency there, in case IL questions your move; as well as protect yourself against any identity thieves.

It depends on what types and amounts of income you have.  See Who Should File?

Most retirement income is not taxed in the state of Mississippi. This includes Social Security benefits, pensions, and annuity payments, so if you have only retirement income, you probably are not required to file.