We study the laser-driven Dicke model beyond the rotating-wave approximation. For weak coupling of the system to environmental degrees of freedom the dissipative dynamics of the emitter-cavity system is described by the Floquet master equation. Projection of the system evolution onto the emitter degrees of freedom results in non-Markovian behavior. We quantify the non-Markovianity of the resulting emitter dynamics and show that this quantity can be used as an indicator of the dissipative quantum phase transition occurring at high driving amplitudes.