A new approach, named auxiliary density perturbation theory, for the calculation of second energy derivatives is presented. It is based on auxiliary density functional theory in which the Coulomb and exchange-correlation potentials are expressed by auxiliary function densities. Different to conventional coupled perturbed Kohn-Sham equations the perturbed density matrix is obtained noniteratively by solving an inhomogeneous equation system with the dimension of the auxiliary function set used to expand the auxiliary function density. A prototype implementation for the analytic calculation of molecular polarizabilities is presented. It is shown that the polarizabilities obtained with the newly developed auxiliary density perturbation approach match quantitative with the ones from standard density functional theory if augmented auxiliary function sets are used. The computational advantages of auxiliary density perturbation theory are discussed, too.