Euclid will cover over 14000 deg2 with two optical and near-infrared spectro-photometric instruments, and is expected to detect around ten million active galactic nuclei (AGN). This unique data set will make a considerable impact on our understanding of galaxy evolution and AGN. In this work we identify the best colour selection criteria for AGN, based only on Euclid photometry or including ancillary photometric observations, such as the data that will be available with the Rubin legacy survey of space and time (LSST) and observations already available from Spitzer/IRAC. The analysis is performed for unobscured AGN, obscured AGN, and composite (AGN and star-forming) objects. We make use of the spectro-photometric realisations of infrared-selected targets at all-z (SPRITZ) to create mock catalogues mimicking both the Euclid Wide Survey (EWS) and the Euclid Deep Survey (EDS). Using these catalogues we estimate the best colour selection, maximising the harmonic mean (F1) of completeness and purity. The selection of unobscured AGN in both Euclid surveys is possible with Euclid photometry alone with F1=0.22-0.23, which can increase to F1=0.43-0.38 if we limit at z>0.7. Such selection is improved once the Rubin/LSST filters (a combination of the u, g, r, or z filters) are considered, reaching F1=0.84 and 0.86 for the EDS and EWS, respectively. The combination of a Euclid colour with the [3.6]-[4.5] colour, which is possible only in the EDS, results in an F1-score of 0.59, improving the results using only Euclid filters, but worse than the selection combining Euclid and LSST. The selection of composite (fAGN=0.05-0.65 at 8-40 μm) and obscured AGN is challenging, with F1<0.3 even when including ancillary data. This is driven by the similarities between the broad-band spectral energy distribution of these AGN and star-forming galaxies in the wavelength range 0.3-5 μm.
