VexCL depends on Boost. In particular, you may need to link to Boost.chrono, Boost.date_time, Boost.filesystem, Boost.system, Boost.thread.
Boost versions 1.48 and above should work. However, there is a known issue with Boost v1.49 through 1.51 resulting in a segmentation fault in code that uses sparse matrix vector products or stencil convolutions.