There's a few different causes for this problem -- the most common is walls that are oily because of an air-based oil, like is often found in a kitchen, or because they put paint directly over a very smooth, very glossy finish with no prep. If it's across the WHOLE HOUSE, though, in multiple rooms, then these reasons don't really apply, and I suspect there was a systemic problem -- the painters let the paint freeze or expire, there was something like ceiling popcorn removal done throughout the house which coated the walls in drywall dust that wasn't removed, etc.

In any case, unfortunately, you have to remove all of the loose paint. I don't even know how that would be doable without tremendous cost, but if you just bought the place, it's something you can claim from the sellers as a deficiency.