Chests are small boxes containing various useful treasures. Inside them you can find gold and diagrams for new weapons and items. Some of them are open and some require you to pick their locks. You will learn how to do it during the very first sequence. To find all the treasures, use the below map or buy a map at any shop in Boston or New York.
NOTICE! To find the last chest, you need to first complete all district missions and then head to the tavern in Boston. It will be marked on the map with the icon of the missions. The chest is hidden on the upper floor.
Map of Boston
Map of New York
Map of the Frontier