Treasure chests are the glowing gold chests scattered around levels, often hidden. Some levels don't have any, but every level that does have them has 3.
A full guide of Treasure Chest locations including detailed descriptions of the locations along with markings of where they are on the map can be found at this link. Just scroll down past all the Trophies for the Chests guide:
http://www.playstationtrophies.org/forum/drakengard-3-a/2223...