“저는 아무런 소득도 없는 상태구요” 이시면, 않하셔도 됩니다.

Non-resident alien은 소득이 없어도 Form 8843은 신고해야 합니다.
뭐, 안한다고 당장 큰 문제가 생기는 것은 아닌 것 같긴 하지만,
법에 하라고 되어 있으면 그대로 해야겠지요.

참조: <a href=http://www.upenn.edu/oip/iss/tax/noincome.html
target=_blank>http://www.upenn.edu/oip/iss/tax/noincome.html

US tax regulations require all nonresident F-1 and J-1 students and scholars, without exception, to file a federal income tax return. In years past students and scholars with no US-source income were required to file both a complete Form 1040NR-EZ and a special tax statement, Form 8843. Since 1997, mercifully, IRS has required students and scholars with no US-source income to file only Form 8843.