There are a total of 82 collectible locations in Thief. Finding all collectibles will earn you the What's Yours is Mine trophy / achievement.
One collectible is obtained automatically during the prologue and cannot be missed. The rest is scattered across all main missions, client jobs and the open world (The City).
Finding all collectibles in the first chapter will also unlock "Two-Faced" - Uncover Lyegrove's secret.

To see how many collectibles an area contains, you can open up the journal (D-Pad up), go to Player Progression and Statistics. There you'll see how many collectibles and loot items you have found in the current chapter and how many there are in total. Furthermore, there's a section called "Collectibles" in the journal, which lists each collectible by its name and breaks them down into categories. That makes it easier to find missing collectibles.
Also make sure to buy enough Rope arrows before each mission. They are often required to reach hidden areas.

You will also be shown an overview at the end of each chapter, which tells you how many items you have recovered. You can then replay the chapter immediately if you missed something. You can also replay chapters at any given time by returning to their starting point in the open world.