The convergence of the density functional energy of Hz is shown to be exponential with respect to basis set size from results obtained with fully optimized basis sets. The convergence is slightly slower than for the Hartree-Fock energy, but the basis set requirements are very similar. The variation in optimal exponents between different density functional methods is similar to that between different molecules for the Hartree-Fock method. The results indicate that hierarchical basis sets for systematically approaching the Hartree-Fock limit an likely also to be suitable for estimating the basis set limit for density functional methods.