Retrieval-based language models (R-LM) model the probability of natural language text by combining a standard language model (LM) with examples retrieved from an external datastore at test time. While effective, a major bottleneck of using these models in practice is the computationally costly datastore search, which can be performed as frequently as every time step. In this paper, we present RETOMATON -retrieval automatonwhich approximates the datastore search, based on (1) clustering of entries into "states", and (2) state transitions from previous entries. This effectively results in a weighted finite automaton built on top of the datastore, instead of representing the datastore as a flat list. The creation of the automaton is unsupervised, and a RETOMATON can be constructed from any text collection: either the original training corpus or from another domain. Traversing this automaton at inference time, in parallel to the LM inference, reduces its perplexity, or alternatively saves up to 83% of the nearest neighbor searches over kNN-LM (Khandelwal et al., 2020), without hurting perplexity.