Thieves caches are located all over Skyrim. The Riften cache is located in the garden of the house you can buy there. In the back of the garden you should 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.