A handheld vacuum works best for this as it can get into smaller spaces (such as tight corners), which saves you some effort later. It also allows for quick emptying and refilling, saving your large vacuum cleaner from getting clogged. Use the narrow nozzle to get under chairs, behind furniture, etc. Empty the vacuum cleaner regularly. This will help prevent clogging and improves suction.
Constant collection is especially important when sweeping outdoors; the merest breeze can send collected confetti everywhere again.
For difficult pieces, use the wet cloth or tape method suggested below.
Vacuum or mop after sweeping indoors, depending on the floor type. Run the rake over outdoor ground to finish up. A hosing down might also assist. For lawned areas, a mow might be a good option, especially if the grass needs cutting anyway.
Never rub or scrub carpet surfaces. These will need to be treated for dye removal, especially with respect to paper confetti. If raw wood is stained, treat with care. Dyes tend to stay put. Fabric may need professional cleaning treatment (soft furnishings and clothing).