A COMPLETE guide of all 82 collectibles can be found HERE
The collectibles are found within the story related chapters, The City area and the 6 Client Jobs available in the game. Upon picking up the last collectible, you will be rewarded the achievement.
Chapters and Client Jobs can always be replayed be visiting their locations on the map, so don't worry if you miss something, you can always go back.
Some collectibles require The Wirecutters, The Wrench, & Razor, so make sure you have purchased these before beginning Chapter 3.
Lastly, use the menu to check "Player Progression" where it'll show your collectibles for each mission, and use focus in a room is you are having trouble finding the proper object to interact with.
*Posting for Maka91, because he did not play this version.