My company connects our Facebook, Twitter, and support email to our Zendesk account. I would like to set up an auto response for any tickets we receive from all channels. For example, when people send an email to support@companyname.com or send us message through Facebook/Twitter, they will receive an auto response, "Thank you for reaching out. Our team has received your message and will get back to you as soon as we can."
Could anyone please tell me how to set it up?
Thank you.

Thanks for jumping in to help, Hillary!
This is exactly right. Under your Meet ALL of the following conditions you'll want to add Channel > Is > Facebook Private Message (or whatever social channel you wish). But that should do the trick!
Just bear in mind that if you're on Essential your options will be limited.