We present the results of the first search for gravitational wave bursts associated with high energy neutrinos. Together, these messengers could reveal new, hidden sources that are not observed by conventional photon astronomy, particularly at high energy. Our search uses neutrinos detected by the underwater neutrino telescope ANTARES in its 5 line configuration during the period January - September 2007, which coincided with the fifth and first science runs of LIGO and Virgo, respectively. The LIGO-Virgo data were analysed for candidate gravitational-wave signals coincident in time and direction with the neutrino events. No significant coincident events were observed. We place limits on the density of joint high energy neutrino - gravitational wave emission events in the local universe, and compare them with densities of merger and core-collapse events.