I am currently a F1 student in WI and did my internship (about two months) last summer IL.
Do I need to file both state tax return or just WI only?

Thanks

Both the tax return if the income is more than the state filing requirements.
Read: Your U.S. Tax Return: Working or Living in Two or More states (http://taxipay.blogspot.com/2008/06/working-in-two-or-more-states.html)