There are a total of 98 Collectibles in Killzone Shadow Fall. 35 Audio Logs, 19 Dossiers, 9 Newspapers, 35 Comic Books. Finding all of them will earn you a silver trophy "The Knowledge".

In the main menu, all collectibles are listed by their name. You can see exactly which ones you have found and which ones are still missing. Chapter select does also provide an extra progress tracker. It shows how many collectibles you have found in each chapter.
If you miss a collectible by accident, you can jump to a specific section right away. The section is shown in the top left corner of the video and can be started via chapter select. You won't have to replay the entire chapter if you miss something.

However, after picking up one of the collectibles, you have to reach the next section to make it count (except for the Audio Logs, they are saved immediately).