Are there any penalties if fail to file annual report?

What is the name of your state (only U.S. law)? MA

I opened an LLC a couple of years ago which is holding my rental real estate properties. I just realized that I haven't filed annual reports for this business. What's the consequences for not filing for the report? Is it too late to file the 1st year report, or I just file the 2nd year report instead? Please advice. Thanks.

There are several things that could be called "annual reports". You will need to be more specific about what you believe you need to file that you have not filed.

I checked the MA state web and found the requirements here:
Limited Liability Company Information

"Annual Reports
An annual report shall contain all of the information as a Certificate of Organization with the filer adding any necessary changes.

Every limited liability company must file an annual report with the Corporations Division on or before the anniversary date of the filing of its original certificate of organization. The report shall contain all of the information included in its certificate of organization and any other matters the authorized person determines to include. The filing fee for an annual report is five hundred dollars ($500.00)."