We report the theory and implementation of vibrational coupled cluster (VCC) damped response functions. From the imaginary part of the damped VCC response function the absorption as function of frequency can be obtained, requiring formally the solution of the now complex VCC response equations. The absorption spectrum can in this formulation be seen as a matrix function of the characteristic VCC Jacobian response matrix. The asymmetric matrix version of the Lanczos method is used to generate a tridiagonal representation of the VCC response Jacobian. Solving the complex response equations in the relevant Lanczos space provides a method for calculating the VCC damped response functions and thereby subsequently the absorption spectra. The convergence behaviour of the algorithm is discussed theoretically and tested for different levels of completeness of the VCC expansion. Comparison is made with results from the recently reported [P. Seidler, M. B. Hansen, W. Györffy, D. Toffoli, and O. Christiansen, J. Chem. Phys. 132, 164105 (2010)] vibrational configuration interaction damped response function calculated using a symmetric Lanczos algorithm. Calculations of IR spectra of oxazole, cyclopropene, and uracil illustrate the usefulness of the new VCC based method.