Context :

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 } \nu _ { 25 } ] vs. X–ray color ( HR ) plane associated to Compton–thick AGN , i.e .
[ F ( 2-12 keV ) /F _ { 25 } \nu _ { 25 } ] < 0.02 and HR > -0.2 .
On the basis of this selection method we build up a sample of 43 Compton–thick AGN candidates using data from IRAS Point Source Catalog 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 \sim 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 \rho ^ { CT } \sim 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 ( \sim 60–90 % ) of the star–forming activity to the total 25 \mu m emission for the sources in our sample .
By considering only the 25 \mu m 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 ) : \Phi _ { C - thick } \sim ( 3.5 ^ { +4.5 } _ { -0.5 } ) \times 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 .

Conclusions :