The identification of tumor-specific molecular dependencies is essential for the development of effective cancer therapies. Genetic and chemical perturbations are powerful tools for discovering these dependencies. Even though chemical perturbations can be applied to primary cancer samples at large scale, the interpretation of experiment outcomes is often complicated by the fact that one chemical compound can affect multiple proteins. To overcome this challenge, Batzilla et al. (PLoS Comput Biol 18(8): e1010438, 2022) proposed DepInfeR, a regularized multi-response regression model designed to identify and estimate specific molecular dependencies of individual cancers from their ex-vivo drug sensitivity profiles. Inspired by their work, we propose a Bayesian extension to DepInfeR. Our proposed approach offers several advantages over DepInfeR, including e.g. the ability to handle missing values in both protein-drug affinity and drug sensitivity profiles without the need for data pre-processing steps such as imputation. Moreover, our approach uses Gaussian Processes to capture more complex molecular dependency structures, and provides probabilistic statements about whether a protein in the protein-drug affinity profiles is informative to the drug sensitivity profiles. Simulation studies demonstrate that our proposed approach achieves better prediction accuracy, and is able to discover unreported dependency structures.