First off, it's important to note that polarizability is a property of individual atoms or molecules and both the electric field [itex]\mathbf{E}[/itex] and the atom's/molecule's dipole moment [itex]\mathbf{p}[/itex] must be real valued quantities.
So, for a complex polarizability [itex]\tilde{\alpha}[/itex] to make any sense at all you would need to first define the electric field and dipole moments to be the real part of some complex quantities [itex]\mathbf{\tilde{E}}[/itex] and [itex]\mathbf{\tilde{p}}[/itex]:
[tex]\mathbf{E}=\text{Re}[\mathbf{\tilde{E}}], \, \; \mathbf{p}=\text{Re}[\mathbf{\tilde{p}}][/tex]
And then you would have
[tex]\mathbf{\tilde{p}}=\tilde{\alpha}\mathbf{\tilde{E}}[/tex]
The only direct conclusion you can draw from this is that the electric field is out of phase with induced dipole moment.
Physically, this scenario can occur when an atom is placed in an oscillating electric field (as in the case of an EM-wave incident on an atom) and there is some sort of velocity dependent damping of its electron(s) (the radiation reaction force produces a similar damping proportional to [itex]\mathbf{\ddot{v}}[/itex]). See for example Griffith's Introduction to Electrodynamics 3rd ed. section 9.4.3.
When there are many atoms//molecules present (such as in any bulk material) that have at least one electron each that is to a large extent free to move about (such as in a conductor) this leads to a complex susceptibility, which results in attenuation/absorption of an incident EM-wave.