I'm not a physicist, but I'll give this a shot. I think most of this is accurate...
States of matter are defined for sets of atoms, usually. Solids, liquids, gasses, plasmas, and all the rest are collections of atoms. E&M waves, though, are at the bridge of the whole particle wave duality theory. It's considered radiant energy, which can be mathematically modeled as oscillating E&M fields or streams of photons. I'll go with the latter, because photons are easier to describe the waves.
Photons are massless, despite having energy. E = mc^2 does not really apply to massless particles; otherwise photons wouldn't have energy, which breaks a lot of physics. They do have momentum, though, which is where it gets really weird; E = mc^2 is only half the equation. The full relativistic equation is E^2 = p^2 c^2 + m^2 c^4; the famous E = m c^2 assumes the mass is at rest. When calculating the energy of a photon, you don't use this equation, though; you'd use E = hc/lambda, where h is plank's constant and lambda is frequency, making h/lambda = momentum, but now I'm getting into territory that I forget from my quantum class...basically, my point is that the energy of a photon = hc/lambda and not mc^2. Since photons are one way of defining E&M waves, you don't really define it as "mass," and so I would argue that it doesn't have a state of matter.
Thus, my first instinct is to say that the classification of an E&M wave as a state of matter doesn't really fit with quantum descriptions.
That said, there's also things called Bose gases, which can be made up of photons. I don't really remember the details of them, but maybe it's possible for them to make an E&M wave? In which case your state would be a "bose gas." That seems a bit fishy to me, but someone with a better knowledge of quantum mechanics should answer that!