This achievement can be unlocked in the 5th chapter " Death Baby". It is potentially missable (But of course there is the option to chapter select later on).
Pretty early in the level you will reach a point at which you have to choose one of 3 idols/statues. Choose the left one to get to the achievement's respective area.
After you fought yourself through hordes of different enemy types, you will meet Death again. She will guide you through a dark area and you will have to stay near her. If you stay to long in the dark areas, you will get hurt and die eventually.
In this part you can find 11 treasures. Only difficulty is to time everything correctly, since you still have to stay near to Death. There are a total 0f 2 areas so to speak (between these 2 areas you have to fight a guy, so that is the part where area 1 ends and the 2nd begins). Area 1 contains a total of 5 chests, while the rest is hidden in area 2.
Please refer to the video below for the exact locations of the treasures.
(video credit: 1Playstationworld)
Hope this helps!
Any improvements? Please let me know in the comments below!