The ALICE Collaboration has measured the energy dependence of exclusive photoproduction of $J/\psi$ vector mesons off proton targets in ultra-peripheral p-Pb collisions at a centre-of-mass energy per nucleon pair $\sqrt{s_{\rm NN}} = 5.02$ TeV. The e$^+$e$^-$ and $\mu^+\mu^-$ decay channels are used to measure the cross section as a function of the rapidity of the $J/\psi$ in the range $-2.5 <~ y <~ 2.7$, corresponding to an energy in the $\gamma$p centre-of-mass in the interval $40 <~ W_{\gamma\mathrm{p}}<~550$ GeV. The measurements, which are consistent with a power law dependence of the exclusive $J/\psi$ photoproduction cross section, are compared to previous results from HERA and the LHC and to several theoretical models. They are found to be compatible with previous measurements.