Thieves caches are located all over Skyrim. The Riften cache is located in the garden of the house you can buy there. Buy the house then purchase the garden upgrade, you should then find there are some barrels, one of which is the Thief Cache appropriately named "Thief Cache" :)
Also keep a look out for this "shadow-mark", it's means there is a thieves cache somewhere nearby.
You can learn more about the Thieves Guild shadow-marks here.