The working equations for the extension of auxiliary density perturbation theory (ADPT) to hybrid functionals, employing the variational fitting of the Fock potential, are derived. The response equations in the resulting self-consistent ADPT (SC-ADPT) are solved iteratively with an adapted Eirola-Nevanlinna algorithm. As a result, a memory and CPU time efficient implementation of perturbation theory free of four-center electron repulsion integrals (ERIs) is obtained. Our validation calculations of SC-ADPT static and dynamic polarizabilities show quantitative agreement with corresponding coupled perturbed Hartree-Fock and Kohn-Sham results employing four-center ERIs. The comparison of SC-ADPT hybrid functional polarizabilities with coupled cluster reference calculations yield semiquantitative agreement. The presented systematic study of the dynamic polarizabilities of oligothiophenes shows that hybrid functionals can overcome the pathological misplacement of excitation poles by the local density and generalized gradient approximations. Good agreement with experimental dynamic polarizabilities for all studied oligothiophenes is achieved with range-separated hybrid functionals in the framework of SC-ADPT.