The idea behind this warning is that if you embed the class names inside your code with the new
keyword it will be hard to swap out these classes in testing and mock or stub methods that the code under test might call on them. See the explanation in the PHPMD rules.
I think in your case this is false positive since exceptions usually doesn't have much behavior on their own but the class name (and class hierarchy behind it) of them is pretty much the only thing important about them.
If you want to get rid of the warning here, you can use the @SupressWarnings
annotation here.