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.