The frozen-virtual natural-orbital (NO) approach, whereby the unoccupied-orbital space is constructed using a correlated density such as that from many-body perturbation theory, has proven to yield compact wave functions for determining ground-state correlation energies and associated properties, with corresponding occupation numbers providing a guide to the truncation of the virtual space. In this work this approach is tested for the first time for the calculation of higher-order response properties, particularly frequency-dependent dipole polarizabilities using coupled-cluster theory. We find that such properties are much more sensitive to the truncation of virtual space in the NO basis than in the original canonical molecular orbital (CMO) basis, with truncation errors increasing linearly with respect to the number of frozen virtual NOs. The reasons behind this poor performance include the more diffuse nature of NOs with low occupation numbers as well as the reduction in sparsity of the perturbed singles amplitudes in the NO basis and the neglect of orbital response. We tested a number of approaches to improve the performance of the NO space, including the use of a field-perturbed density to define the virtual orbitals and various external-space corrections. The truncation of the CMO space, on the other hand, yields errors in coupled-cluster dipole polarizabilities of less than 2% even after removing as much as 50% of the full virtual space. We find that this positive performance of the CMO space results from a cancellation of errors due to the truncation of the unperturbed and perturbed amplitudes, as well as sparsity of the singles amplitudes. We introduce a simple criterion called a dipole amplitude to use as a threshold for truncating the CMO basis for such property calculations.