We systematically investigate the near- (NIR) to far-infrared (FIR) photometric properties of a nearly complete sample of local active galactic nuclei (AGN) detected in the Swift/Burst Alert Telescope (BAT) all-sky ultra hard X-ray (14-195 keV) survey. Out of 606 non-blazar AGN in the Swift/BAT 70-month catalog at high galactic latitude of $|b|>10^{circ}$, we obtain IR photometric data of 604 objects by cross-matching the AGN positions with catalogs from the WISE, AKARI, IRAS, and Herschel infrared observatories. We find a good correlation between the ultra-hard X-ray and mid-IR (MIR) luminosities over five orders of magnitude ($41 < log (L_{14-195}/{rm erg}~{rm s}^{-1})< 46$). Informed by previous measures of the intrinsic spectral energy distribution of AGN, we find FIR pure-AGN candidates whose FIR emission is thought to be AGN-dominated with low starformation activity. We demonstrate that the dust covering factor decreases with the bolometric AGN luminosity, confirming the luminosity-dependent unified scheme. We also show that the completeness of the WISE color-color cut in selecting Swift/BAT AGN increases strongly with 14-195 keV luminosity.