A house in the Stonemarket.
The Basso side mission "Check, Mate" leads you here where you find your mission objective in the basement. You can go through a grate, though, and after solving a "puzzle" where four buttons have to be triggered, you'll find a sub-basement where you'll find a Mortal Coils collectible and some other loot (a rope arrow is needed to survive a deep drop and to return to the original basement).
Most intriguing, though, is the skeleton behind a iron gate and a model of a city that doesn't appear to match Thief 2014's city. This is likely an homage something in the original Thief series, although to what, exactly, is unknown.