Just download the source tarball, extracts tarball, change dir to vlfeat root, run `make`. How ever, if you have mex installed, vlfeat will assume that you have MATLAB installed, while mex might come from TeXLive. You could comment out this line:
since you don't need to compile with MATLAB support. After that, just run `make`, everything will works ok. Launch octave, run vl_setup, and then vl_demo to run a demo to test if vlfeat installed properly.
I just tested with Arch Linux, octave 4.4.0-1 from official repo, gcc 8.1.1.