  We study the $Z_{cs}(3985)$ and $Z_{cs}(4000)$ exotic states in the decays of
$\Lambda_b$ baryons through a molecular scenario. In the final state
interaction, the $\Lambda_b\to \Lambda_c^+ D_s^{(*)-}$ decays are followed by
the $\Lambda_c^+ D_s^{(*)-}$ to $Z^-_{cs}p$ rescatterings via exchange of a
$D^{(*)}$ meson. We predict a branching fraction of $(3.1^{+1.4}_{-2.6})\times
10^{-4}$ for $\Lambda_b\to Z^-_{cs}p$, which can be measured in the
$\Lambda_b\to J/\psi K^{(*)-}p$ decay. This study proposes a new approach to
test the molecular model, and guides future experimental searches for the
$Z_{cs}(3985)$ and $Z_{cs}(4000)$.
