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The Advanced LIGO observatory recently reported the first direct detection of gravitational waves (GW) which triggered ALIGO on 2015 September 14. We report on observations taken with the Swift satellite two days after the trigger. No new X-ray, optical, UV or hard X-ray sources were detected in our observations, which were focussed on nearby galaxies in the GW error region and covered 4.7 square degrees (~2% of the probability in the rapidly-available GW error region; 0.3% of the probability from the final GW error region, which was produced several months after the trigger). We describe the rapid Swift response and automated analysis of the X-ray telescope and UV/Optical Telescope data, and note the importance to electromagnetic follow up of early notification of the progenitor details inferred from GW analysis.