These treasures are scattered across the vast Meridian Ocean, and collecting them will grant you a special reward.
You can start searching for the treasures once you reach Chapter 12: A Golden Key.
This is when your flying vehicle, the Tiny Bronco, transforms into a seafaring ship.
Head to the docks in Costa del Sol and interact with the purple chest next to the Tiny Bronco.
This will reveal a treasure map showing the locations of four hidden Pirate's Grottoes.
Use the Tiny Bronco to travel to each of the marked locations on the map
Each Grotto is a small island with a powerful enemy guarding a treasure chest. You'll need to defeat the enemy to claim the Pirate's Relic hidden inside the chest.
Once you've collected all four Pirate's Relics, you can combine them to create the Corsair's Compass.