To unlock this achievement you must open every red and white chest in the game, the blue and yellow chests do not need to be opened to unlock the achievement.
Chests will appear on your in game map as you get near them but it is recommended you buy the Cockades and Chest Map from the Time Saver Packs in the EStore to make all chest appear on your map.
It is also strongly recommended you wait until finishing sequence 9 so you are able to unlock the Master Locksmith skill to make opening locks much easier.
Some chests can only be accessed by completing nearby missions that will open up the area the chest is located, if you find a chest in an inaccessible room try doing nearby Paris story missions.
It can also help to buy the Master Sans-Culottes Belt, a piece of equipment that lets you carry 22 additional lock picks.