Observations of AGN host galaxies have detected fast molecular outflows, with velocities up to ~1000 km s-1. However, the origin of these molecular outflows is currently unclear. One possibility is that they are formed from molecular gas that is swept up from the host galaxy by the AGN wind. However, previous studies have suggested that molecular clouds that are swept up by an AGN wind are unlikely to survive being accelerated to such high velocities. An alternative scenario is that molecules may form within the AGN wind material itself. We present a suite of 3D hydrodynamic simulations of an idealised AGN wind that we have run to explore this scenario. These simulations are coupled to a time-dependent chemical model to follow the creation and destruction of molecules, including H2, CO, OH and HCO+. We find that molecules do form within the wind, with molecular outflow rates up to 140 Mʘ yr-1 after 1 Myr. This is sensitive to the ambient ISM density, metallicity, and AGN luminosity. We also compute observable CO emission lines from these simulations using a radiative transfer code in post-processing. The CO-derived outflow rates are comparable to those seen in observations, although the maximum line of sight velocities are a factor ≈2 lower than observed. We find a CO (1-0) to H2 conversion factor of αCO = 0.15 Mʘ (K km s-1 pc2)-1 at solar metallicity, 5 times lower than is typically assumed in observations of such systems.