I earned no income in the US, do I need to file a tax return?

Yes. You must file a form 8843 with IRS before the deadline. Form 8843 is not an income tax return – it’s a statement required by the U.S. government for certain nonresident aliens who are in the US on F-1, J-1, F-2 or J-2 visas for purposes of the substantial presence test.