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We investigate the dynamical properties of one-dimensional dissipative Fermi-Hubbard models, which are described by the Lindblad master equations with site-dependent jump operators. The corresponding non-Hermitian effective Hamiltonians with pure loss terms possess parity-time ($\mathcal{PT}$) symmetry if we compensate the system additionally an overall gain term. By solving the two-site Lindblad equation with fixed dissipation exactly, we find that the dynamics of rescaled density matrix shows an instability as the interaction increases over a threshold, which can be equivalently described in the scheme of non-Hermitian effective Hamiltonians. This instability is also observed in multi-site systems and closely related to the $\mathcal{PT}$ symmetry breaking accompanied by appearance of complex eigenvalues of the effective Hamiltonian. Moreover, we unveil that the dynamical instability of the anti-ferromagnetic Mott phase comes from the $\mathcal{PT}$ symmetry breaking in highly excited bands, although the low-energy effective model of the non-Hermitian Hubbard model in the strongly interacting regime is always Hermitian. We also provide a quantitative estimation of the time for the observation of dynamical $\mathcal{PT}$ symmetry breaking which could be probed in experiments.