This achievement is unlocked in the Zombie Warehouse, Lockout mode.
In case you haven't found it, the module to unlock this game mode is located in the Menu area inside a locker off to the left side as you spawn in. Plug the module into the nearby board, then use the main screen in the middle of the room to select Arena > Zombie Warehouse.
You can unlock this achievement while playing in any difficulty.
You will need to unlock a sequence of doors in the warehouse area using keys that are purchased from the Monomat vendors.
Using the bullets you acquire from killing zombies you must first purchase the 2 yellow keys (100 bullets) to exit the first area. Then purchase the blue key (300 bullets) to unlock a barrier in the middle of the warehouse area, this also gives you access to a second Monomat vendor on the far side of the new section.
Lastly you need to purchase the green key (5000 bullets) from the second Monomat vendor and use that key to open a cargo container directly to the right.
At this point the achievement will unlock as soon as you exit the game.