I recall, Kin'emon said they were spotted leaving the country, which is a crime in Wano, so they started chasing them, but from that until their landing in Dressrosa they shouldn't know their identities until Doula Mongo and his men saw them.
But there's quite a plot hole there, between them knowing some guys ilegally left Wano, and them knowing their exact identities.
Which leads to, once again, a fucking traitor.
When they spotted Kinnemon and co leaving the country, Kaidou's underlings were able to identify who they actually were (or maybe the traitor revealed it). So much so that they knew that Raizou was the only one on Zou and later they were looking for Momonosuke.