We study the fate of an impurity in a two-component, non-interacting Fermi gas under a non- Hermitian spin-orbit coupling (SOC) which is generated by dissipative Raman lasers. While SOC mixes the two spin species in the Fermi gas thus modifies the single-particle dispersions, we consider the case where the impurity only interacts with one of the spin species. As a result, spectral properties of the impurity constitute an ideal probe to the dissipative Fermi gas in the background. In particular, we show that dissipation destabilizes polarons in favor of molecular formation, consistent with previous few-body studies. The dissipative nature of the Fermi gas further leads to broadened peaks in the inverse radio-frequency spectra for both the attractive and repulsive polaron branches, which could serve as signals for experimental observation. Our results provides an exemplary scenario where the interplay of non-Hermiticity and interaction can be probed.