It depends how you define "state".
1. If we are going to say that any country divided up into administrative regions counts regardless of what they are called then the answer is that MOST countries do.
2. If we are talking about regions with a federative connection:
Argentina, Australia, Austria, Belgium, Bosnia and Herzegovina, Brazil, Canada, Comoros, Ethiopia, Germany, India, Iraq, Malaysia, Mexico, Micronesia, Nepal, Nigeria, Pakistan, Russia, Saint Kitts, Somalia, South Sudan, Sudan, Switzerland, UAE, USA, Venezuela
* Note that I am drawing a dividing line between those places that have a federative connection (as in USA, Germany, UAE, Malaysia, Mexico, etc) and those that don't (the UK isn't a federation of counties, nor is France a federation of departements). If it has a government, it's a state. If it just has a council, it's a county (or equivalent).