Hello i had the same problem , and i created an "Misc" namespace for my custom exceptions like so :
- add namespace to module.php
<?php
namespace Api;
use Phalcon\Loader,
    Phalcon\Mvc\View,
    Phalcon\Config\Adapter\Ini,
    Phalcon\Mvc\ModuleDefinitionInterface,
    Phalcon\Db\Adapter\Pdo\Mysql as DbAdapter;
class Module
{
  public function registerAutoloaders()
  {
    $loader = new Loader;
    $loader->registerNamespaces([
      'Api\Controllers'  => __DIR__ . '/controllers/',
      'Api\Models'       => __DIR__ . '/models/',
      'Api\Misc'         => __DIR__ . '/misc/'      // <<<<=== here
    ]);
    $loader->register();
  }
2 - create the folder "misc"
3 -  in the folder create your class like so:
<?php
namespace Api\Misc; // <== namespace we just created
use \Phalcon\Exception;
class ApiExceptions extends \Phalcon\Exception // <= class name so we can access it later in our controllers
{
  public static function InvalidCsrfToken()
  {
    throw new Exception("Invalid CSRF Token", 6);
  }
4 - start using it !
use Api\Misc\ApiExceptions  as ApiException; // <== class name that we created