Stacking Factor Coefficient - innovationslasopa

I was trying out linear regression with R using categorical attributes and observe that I don't get a coefficient value for each of the different factor levels I have. Please see my code below, I have 5 factor levels for states, but see only 4 values of co-efficients. I also tried with a larger data set by doing the following, but still see the same behavior EDIT : Thanks to responses from eipi10,