A reduced-cost density fitting (DF) linear-response second-order coupled-cluster (CC2) method has been developed for the evaluation of excitation energies. The method is based on the simultaneous truncation of the molecular orbital (MO) basis and the auxiliary basis set used for the DF approximation. For the reduction of the size of the MO basis, state-specific natural orbitals (NOs) are constructed for each excited state using the average of the second-order Møller-Plesset (MP2) and the corresponding configuration interaction singles with perturbative doubles [CIS(D)] density matrices. After removing the NOs of low occupation number, natural auxiliary functions (NAFs) are constructed [M. Kállay, J. Chem. Phys. 141, 244113 (2014)], and the NAF basis is also truncated. Our results show that, for a triple-zeta basis set, about 60% of the virtual MOs can be dropped, while the size of the fitting basis can be reduced by a factor of five. This results in a dramatic reduction of the computational costs of the solution of the CC2 equations, which are in our approach about as expensive as the evaluation of the MP2 and CIS(D) density matrices. All in all, an average speedup of more than an order of magnitude can be achieved at the expense of a mean absolute error of 0.02 eV in the calculated excitation energies compared to the canonical CC2 results. Our benchmark calculations demonstrate that the new approach enables the efficient computation of CC2 excitation energies for excited states of all types of medium-sized molecules composed of up to 100 atoms with triple-zeta quality basis sets.