We systematically investigate the near- to far-infrared (FIR) photometric properties of a nearly complete sample of local active galactic nuclei (AGNs) detected in the Swift/Burst Alert Telescope (BAT) all-sky ultra-hard X-ray (14-195keV) survey. Out of 606 non-blazar AGNs in the Swift/BAT 70 month catalog at high galactic latitudes of |b|>10{deg}, 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 luminosities over five orders of magnitude (41<logL_14-195_<46). Informed by previous measurements of the intrinsic spectral energy distribution of AGNs, we find FIR pure-AGN candidates whose FIR emission is thought to be AGN-dominated with low star-formation 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 AGNs increases strongly with 14-195keV luminosity.