All the Z-Wave door/window sensors should do that.
Aeon-Labs, Ecolink, Enerwave, Everspring, MonoPrice, Schlage, Philio-Tech, and Zipato all sell different models at Amazon.
I am using the Ecolink one myself, because it was the cheapest one that offered a hardwire terminal link option. That way you can wire up an old doorbell, or use cheaper non-Z-Wave magnetic or motion sensor arrays and turn them into Z-Wave.