Fortunately, you don't need to go through all your games to find out which ones have achievements, and which ones don't.
Go to your profile page and click on "Edit Profile".
Under "Featured Showcase", choose "Achievement Showcase" if you haven't done so already, and click on any of the slots for the showcase.
If you have another showcase currently active, don't worry. Steam does not automatically save your profile. As long as you don't click on "Save", you won't have to reconfigure your current showcase.
Finally, open the dropdown. This will show you all games with achievements. Simply select each game one by one.
If you have unlocked achievements for the game, you'll see a list of achievements:
Otherwise, the list will be empty (possibly with an error message, if you've never played the game):