Hi,

I am a software professional on H1B visa. My employer company is in IL. I am working in a company in Brooklyn, NY as a consultant.

Do I need to pay income tax for NY or IL. As I am a consultant the NY company don't pay me, I am paid by my company in IL.

You are not a resident of New York. You are a resident of Illinois where you are employed.
The Illinois company pays you a salary... but you might receive it in New York... or Ohio, or Florida or Timbuctu...
Where you receive the payments doesn't matter at all, its where you are a resident --if such state has a state income tax, or where the cash is received from is where your tax rate is calculated.

Federal Tax doesn't make any difference, Uncle Sam wants his share wherever you earn or get it.

Did you ever live in IL?
When did you move to Brooklyn, NY? What was your tax home before you moved to NY.

If you were not living in IL before you moved to NY, you will not pay any tax to IL.

I agree with MukatA!

Because you worked in NY, for sure you MUST pay taxes to NY state.

You MAY need to file an Illinois tax return as well if you lived in Illinois and established a home there, and the NY job is considered to be temporary in nature.

Because of the credit that Illinois gives for taxes paid to NY, and because the NY state tax rates are HIGHER than Illinois, you should owe ZERO taxes to Illinois.

If you NEVER lived in Illinois, you need file ONLY with NY state and pay taxes to NY state. However, if your employer withheld IL taxes, you will need to file with IL to claim the withheld taxes back. Tell your employer to STOP withholding IL taxes in this case.