This work addresses the linear dynamics underlying the formation of density interfaces at the periphery of energetic vortices, well outside the vortex core, both in the radial and axial directions. We compute numerically the unstable modes of an anticyclonic Gaussian vortex lens in a continuously stratified rotating fluid. The most unstable mode is a slow mode, associated with a critical layer instability located at the vortex periphery. Although the most unstable disturbance has a characteristic vertical scale which is comparable to the vortex height, interestingly, the critical levels of the successively fastest growing modes are closely spaced at intervals along the axial direction that are much smaller than the vortex height.