We consider the density response of a spin-imbalanced ultracold Fermi gas in an optical lattice in the Fulde-Ferrell-Larkin-Ovchinnikov (FFLO) state. We calculate the collective mode spectrum of the system in the generalized random-phase approximation and find that, although the collective modes are damped even at zero temperature, the damping is weak enough to have well-defined collective modes. We calculate the speed of sound in the gas and show that it is anisotropic due to the anisotropy of the FFLO pairing, which implies an experimental signature for the FFLO state.