You can get this Achievement right in Chapter 1: Lockdown.
Don't worry if you missed any collectible, you can replay any Chapter in Thiefcollectible one: The Glittering Plumage (can't be missed?) from the Prologue
collectible two: Jewelled Mask
collectible three: Lyegrove's Jewelled Mask
collectible four: Amethyst Circle
collectible five: Sootback Bracelet
If you have trouble finding those, here are some Screenshots from my other Guide