It depends on the business entity you have chosen. All corporations, regardless of whether they had income for the year, must file a tax return. Limited liability companies (LLCs) are usually treated as "pass-through" entities; that is, all income passes through the business and is taxed on the owner's personal income tax returns. A single-member LLC is thus treated like a sole proprietorship (another "pass-through" entity). Because Wisconsin is a marital property state, an LLC that has only two members who are married to each other can also be treated like a sole proprietorship for income tax purposes. This is called the "disregarded entity" rule.
Co-owned LLCs that have two members who are not married to each other, or that have three or more members, are treated like partnerships, with each owner paying taxes on the percentage of income equivalent to their ownership share. Though a co-owned LLC doesn't file a tax return, it must file IRS form 1065, to confirm that partners are correctly allocating the business's income.
You can also elect to have an LLC treated as a corporation for tax purposes. If you think your LLC will have significant income, this may be a desirable option.