Fast radio bursts are bright, unresolved and short flashes of radio emission originating from outside the Milky Way. The origin of these mysterious outbursts is unknown, but their high luminosity and short duration has prompted much speculation. The discovery that FRB 121102 repeats has enabled multiwavelength follow up, which has identified the host galaxy. VERITAS has observed the location of FRB 121102, including coincident observations with Arecibo. We present the results of a search for steady very high energy $\gamma$-ray emission and the methodology for searching for short timescale, transient optical and very high energy $\gamma$-ray emission.