We show that a Weyl superconductor can absorb light via a novel surface-to-bulk mechanism, which we dub the topological anomalous skin effect. This occurs even in the absence of disorder for a single-band superconductor, and is facilitated by the topological splitting of the Hilbert space into bulk and chiral surface Majorana states. In the clean limit, the effect manifests as a characteristic absorption peak due to surface-bulk transitions. We also consider the effects of bulk disorder, using the Keldysh response theory. For weak disorder, the bulk response is reminiscent of the Mattis-Bardeen result for $s$-wave superconductors, with strongly suppressed spectral weight below twice the pairing energy, despite the presence of gapless Weyl points. For stronger disorder, the bulk response becomes more Drude-like and the $p$-wave features disappear. We show that the surface-bulk signal survives when combined with the bulk in the presence of weak disorder. The topological anomalous skin effect can therefore serve as a fingerprint for Weyl superconductivity. We also compute the Meissner response in the slab geometry, incorporating the effect of the surface states.