You don't need to pick it up...the last level level doesn't have an artifact, the one before has one, but the first level of the netherworld, the one with all the terra cotta guys and those blue skeleton things, has 2 artifacts, one on a ledge by where the last blue skeleton is, and the other one at the end of the long series of whipping lanterns.
With that, you'll have all of the artifacts.
With that, you'll have all of the artifacts.