Why is this python generator returning the same value everytime?

You are reusing the same list object. Your generator returns the one object over and over again, manipulating it as it goes, but any other references to it see those same changes:

>>> r = list(gen())
>>> r
[[4], [4], [4], [4], [4]]
>>> r[0] is r[1]
True
>>> r[0][0] = 42
>>> r
[[42], [42], [42], [42], [42]]

Yield a copy of the list or create a new fresh list object instead of manipulating one.

def gen_copy():
    state = [None]

    for i in range(5):
        state[0] = i
        yield state.copy()  # <- copy

def gen_new():
    for i in range(5):
        state = [i]  # <- new list object every iteration
        yield state

You are yielding the same list/object so you always see the last values added to the list. You should yield a copy:

yield state.copy()

Or create the list inside the first loop:

for i in range(5):
    state = [i]

It would be as easy to create a new list/object each time:

def gen():
    for i in range(5):
        state = [None]
        state[0] = i
        yield state