We show that the BF theory in any space-time dimension, when quantized in a certain linear covariant gauge, possesses a vector supersymmetry. The generator of the latter together with those of the BRS transformations and of the translations form the basis of a superalgebra of the Wess-Zumino type. We give a general classification of all possible anomalies and invariant counterterms. Their absence, which amounts to ultraviolet finiteness, follows from purely algebraic arguments in the lower-dimensional cases.