In physics, electromagnetic radiation refers to the waves of the electromagnetic field, propagating through space, carrying electromagnetic radiant energy. It includes radio waves, microwaves, infrared, light, ultraviolet, X-rays, and gamma rays. Wikipedia
As above, EM radiation isn't matter, so doesn't occupy a state. It's also worth adding that there are more states of matter than just the four you mention -- although those are the most common and most well-known, and the remaining states of matter are only attainable in extreme conditions.