Photonic integrated circuits play a vital role in enabling terahertz (THz) applications that require multi-octave bandwidth. Prior research has been limited in bandwidth due to rectangular waveguide (WRs) interconnects, which can only support single octave at low loss. To overcome this fundamental limitation, we exploit the ultra-wideband (UWB) near-field coupling between planar waveguides and silicon (Si)-based subwavelength dielectric rod waveguides (DRWs) to interconnect THz bandwidth uni-traveling-carrier photodiodes (UTC-PDs) at 0.08-1.03 THz. In a proof-of-concept experiment, the on-chip integrated UTC-PDs demonstrate a UWB operation from 0.1 THz to 0.4 THz. Furthermore, by employing Si DRWs as probes, multi-octave device-under-test characterization of UTC-PDs integrated with UWB transition is enabled with only one DRW probe. The proposed UWB interconnect technology is distinct from previously used WR-based ground-signal-ground probes or quasi-optical free-space coupling since it can provide multi-octave bandwidth and enable on-chip THz circuit integration.