Good question! Not all states require an extension to be filed. 

Rhode Island

Does the state provide for an automatic six-month extension of time to file? Yes. If there is not tax due on the return, the filing of a Rhode Island Form R-4868 is not required. Otherwise, if there are taxes owed on a Rhode Island return, a Form R-4868 must be filed by the April filing deadline for the Form RI-1040 or RI-1040NR.  An extension of time to file is not an extension of time to pay.

More state guidance here https://proconnect.intuit.com/community/state-tax-forms/help/1040-state-extension-frequently-asked-q...