We assess the accuracy of common hybrid exchange-correlation (XC) functionals (PBE0, PBE0-1/3, HSE06, HSE03, and B3LYP) within the Kohn-Sham density functional theory for the harmonically perturbed electron gas at parameters relevant for the challenging conditions of the warm dense matter. Generated by laser-induced compression and heating in the laboratory, the warm dense matter is a state of matter that also occurs in white dwarfs and planetary interiors. We consider both weak and strong degrees of density inhomogeneity induced by the external field at various wavenumbers. We perform an error analysis by comparing with the exact quantum Monte Carlo results. In the case of a weak perturbation, we report the static linear density response function and the static XC kernel at a metallic density for both the degenerate ground-state limit and for partial degeneracy at the electronic Fermi temperature. Overall, we observe an improvement in the density response when the PBE0, PBE0-1/3, HSE06, and HSE03 functionals are used, compared with the previously reported results for the PBE, PBEsol, local-density approximation, and AM05 functionals; B3LYP, on the other hand, does not perform well for the considered system. Additionally, the PBE0, PBE0-1/3, HSE06, and HSE03 functionals are more accurate for the density response properties than SCAN in the regime of partial degeneracy.