New correlation consistent basis sets for the group 11 (Cu, Ag, Au) and 12 (Zn, Cd, Hg) elements have been developed specifically for use in explicitly correlated F12 calculations. This includes orbital basis sets for valence only (cc-pVnZ-PP-F12, n = D, T, Q) and outer core-valence (cc-pCVnZ-PP-F12) correlation, along with both of these augmented with additional high angular momentum diffuse functions. Matching auxiliary basis sets required for density fitting and resolution-of-the-identity approaches to conventional and F12 integrals have also been optimized. All of the basis sets are to be used in conjunction with small-core relativistic pseudopotentials [Figgen et al., Chem. Phys. 311, 227 (2005)]. The accuracy of the basis sets is determined through benchmark calculation at the explicitly correlated coupled-cluster level of theory for various properties of atoms and diatomic molecules. The convergence of the properties with respect to the basis set is dramatically improved compared to conventional coupled-cluster calculations, with cc-pVTZ-PP-F12 results close to conventional estimates of the complete basis set limit. The patterns of convergence are also greatly improved compared to those observed from the use of conventional correlation consistent basis sets in F12 calculations.