E-commerce companies have to face abnormal sellers who sell potentially-risky products. Typically, the risk can be identified by jointly considering product content (e.g., title and image) and seller behavior. This work focuses on behavior feature extraction as behavior sequences can provide valuable clues for the risk discovery by reflecting the sellers' operation habits. Traditional feature extraction techniques heavily depend on domain experts and adapt poorly to new tasks. In this paper, we propose a self-supervised method InfoBehavior to automatically extract meaningful representations from ultra-long raw behavior sequences instead of the costly feature selection procedure. InfoBehavior utilizes Bidirectional Transformer as feature encoder due to its excellent capability in modeling long-term dependency. However, it is intractable for commodity GPUs because the time and memory required by Transformer grow quadratically with the increase of sequence length. Thus, we propose a hierarchical grouping strategy to aggregate ultra-long raw behavior sequences to length-processable high-level embedding sequences. Moreover, we introduce two types of pretext tasks. Sequence-related pretext task defines a contrastive-based training objective to correctly select the masked-out coarse-grained/fine-grained behavior sequences against other "distractor" behavior sequences; Domain-related pretext task designs a classification training objective to correctly predict the domain-specific statistical results of anomalous behavior. We show that behavior representations from the pre-trained InfoBehavior can be directly used or integrated with features from other side information to support a wide range of downstream tasks. Experimental results demonstrate that InfoBehavior significantly improves the performance of Product Risk Management and Intellectual Property Protection.