Tax Return Question

I first came to the US in 1998 with a J-1 visa, then I changed to a F-1 visa. I started working on campus in 2002, however, I have never filed any tax return before. Now, I am told by my school that I need to file tax return for each year, even for the years that I didn't have any income, just use Form 1040 NR for no income, and use Form 1040NR-EZ for with income. At the same time, some people say that I do not need to file for no income years.
I don't know who I should listen to, please give me some suggestions, thanks in advance!!