Aims. We present a new efficient diagnostic method, based on mid-infrared and X-ray data, to select local (z < 0.1) Compton-thick AGN with the aim of estimating their surface and space density. Methods. We define a region in the X-ray-to-mid-IR [F(2−12 keV)/F 25 ν 25 ] vs. X-ray color (HR) plane associated to Compton-thick AGN, i.e. [F(2−12 keV)/F 25 ν 25 ] < 0.02 and HR > −0.2. On the basis of this selection method we build up a sample of 43 Comptonthick AGN candidates using data from IRAS Point Source and 2XMM-Newton catalogues. In order to test the efficiency of the proposed method in selecting Compton-thick AGN we use the results of the X-ray spectral analysis performed on all the sources of our sample (presented in a parallel work). After taking into account the different selection effects, we have estimated the number of Compton-thick in the local Universe and their density down to the IRAS flux limit of F 25 = 0.5 Jy. Results. We find that the diagnostic plot proposed here is an efficient method to select Compton-thick AGN in the nearby Universe since ∼84% of the sources populating the proposed Compton-thick region are actually Compton-thick AGN. Twenty percent are newly-discovered Compton-thick AGN. We then estimate the surface density of Compton-thick AGN down to the IRAS PSC catalogue flux limit (F 25 = 0.5 Jy) that turns out to be ρ CT ∼ 3 × 10 −3 src deg −2 . After estimating an equivalent IR-to-hard-X-ray limiting flux, we compare our result with those found with Swift-BAT. We find that the surface density derived here is a factor 4 above the density computed in the hard X-ray surveys. This difference is ascribed, at least in part, to a significant contribution (∼60−90%) of the star-forming activity to the total 25 μm emission for the sources in our sample. By considering only the 25 μm AGN emission, we estimate a surface density of Compton-thick AGN which is consistent with the results found by hard X-ray surveys. Finally, we estimated the co-moving space density of Compton-thick AGN with intrinsic L X > 10 43 erg s −1 (0.004 < z < 0.06): Φ C−thick ∼ (3.5 +4.5 −0.5 ) × 10 −6 Mpc −3 . The prediction for Compton-thick AGN based on the synthesis model of X-ray background in Gilli et al. (2007) is consistent with this value.