The second piece is revealed to be a medallion held by a human.
The investigation eventually reveals that the murders are connected to a smuggling ring involving a mysterious package—which turns out to be a "flaming" substance that Lucifer initially mistakes for something more divine. Lucifer S02E1143:15 Min
The main component is Azrael's Blade, which Lucifer recovered earlier in the season. The second piece is revealed to be a
The final piece is Amenadiel's necklace, which he has worn for millennia. which he has worn for millennia.