Sniper Elite 4 has 29 Collectible Locations in Mission 7: Giovi Fiorini Mansion (3 Deadeye Targets, 2 Sniper Reports, 5 Letters to Home, 5 Letters from Home, 5 Last Letters, 5 Documents, 4 Duty Rosters). Finding all collectibles unlocks the following trophies / achievements:

IMPORTANT GLITCH WARNING: The collectible tracker in mission select is wrong for this mission! It says there is 1 Sniper Report and 6 Documents. But in reality there are 2 Sniper Reports and only 5 Documents. So one more Sniper Report and one less Document. Furthermore, the second Sniper Report does not always spawn.

The Collector [Silver / 25G]
A Bird in the Hand... [Bronze / 25G]
Greatest Hits [Bronze / 25G]

In total you can find 322 collectibles (50 Letters from Home, 50 Letters to Home, 50 Last Letters, 75 Misc Documents, 27 Sniper Reports, 40 Duty Rosters, 30 Deadeye Targets). The two Co-Op Overwatch missions also contain collectibles and are required for the trophies and achievements!

None of the Sniper Elite 4 Collectibles are missable. You can get missing items at any time via mission select. There is a collectible counter for each mission which shows exactly how many items of each type you have found.
Everything is saved automatically and instantly when you pick it up. You can return to the title screen without having to reach the next checkpoint. If you die you don't have to pick it up again.
A lot of letters, documents, sniper reports, and all duty rosters are loot from enemies. When looking at them with the binoculars it will say if they have a collectible item. You can also see their name through the binoculars, so compare with the name in the video to find the right person. Or simply kill everyone and loot the corpses.
Some of the collectibles are not from enemies and actually hidden in the game world. Deadeye Targets look like statues of stone eagles and you must shoot them down.

TIMELINE MISSION 7 - GIOVI FIORINI MANSION:

#1 - Last Letter #1 - 0:05
#2 - Duty Roster #1 - 0:42
#3 - Last Letter #2 - 1:06
#4 - Duty Roster #2 - 1:27
#5 - Last Letter #3 - 1:49
#6 - Last Letter #4 - 2:14
#7 - Duty Roster #3 - 2:41
#8 - Last Letter #5 - 3:04
#9 - Sniper Report #1 - 3:26
#10 - Duty Roster #4 - 3:59
#11 - Misc Document #1 - 4:32
#12 - Deadeye Target #1 - 4:48
#13 - Misc Document #2 - 5:05
#14 - Misc Document #3 - 5:23
#15 - Misc Document #4 - 5:29
#16 - Letters from Home #1 - 5:35
#17 - Misc Document #5 - 5:55
#18 - Letters from Home #2 - 6:25
#19 - Letters to Home #1 - 6:40
#20 - Letters from Home #3 - 6:56
#21 - Letters to Home #2 - 7:31
#22 - Deadeye Targets #2 - 7:54
#23 - Letters to Home #3 - 8:20
#24 - Letters to Home #4 - 8:39
#25 - Letters to Home #5 - 9:04
#26 - Letters from Home #4 - 9:25
#27 - Letters from Home #5 - 9:39
#28 - Deadeye Target #3 - 9:59
#29 - Sniper Report #2 (Glitched Document #6) - 10:19