The problem is not that the state doesn't exist, it is that you are not using the correct context for state.
You need to bind the axios callback function, otherwise this inside it will refer to its own context rather than that of the react component
axios.get(//url//)
.then( (response) => {
this.setState({data: response.data});
})
.catch( (error) => {
console.log(error);
})
and in render
render() {
return (
<ul>
{this.state.data.map(v => <li key={v.id}>{v.body}</li>)}
</ul>
)
};