I don't know that this is wrong, but it definitely sounds strange to me. Let's take a look at a few alternate wordings:
She advised me to continue to draw the things that I find interesting.
Perfectly acceptable. After all, the advice is presumably to draw whatever you think is interesting at the point in time you are drawing. Your interests can change. This is probably the wording I'd have gone with. What we can draw from this wording, by the way, is that what the advisor said was something along the lines of:
You should continue to draw the things you find interesting.
So I find is probably your best bet. But let's keep going and look at a few other wordings:
She advised me to continue to draw the things that I found interesting.
This sounds a little bit off to me. If I heard it I'd understand it to have the same meaning as the I find version, but that's not what the actual words seem to mean to me. The advising occurred in the past, so advised makes sense. But when we cast find into the past (as found), that suggests that you finding things interesting also occurred in the past. That is: she suggested that, in the future, you continue to draw the things which you considered interesting at the moment which she gave you the advice. So if you were interested in cats when she gave you the advice, but later found out you were allergic and decided you were more interested in dogs instead, the advice would still be to draw cats. This is probably not what was meant.
Now, as for your original phrasing:
She advised me to continue to draw the things that I have found interesting.
This also sounds odd to me. There's an implied "in the past" at the end of the sentence. To me this carries the meaning that she suggests you should draw anything that you have ever found interesting up to the point at which she gave you the advice, regardless of whether or not you still find those things interesting or if those interests change in the future. For example, when you were a child you liked candy. When you were given this advice, you liked meat. Ten years from now you may no longer care for candy or meat, maybe you only like vegetables. But you should still be drawing only candy and meat. Again, probably not what the speaker meant.
So I think your initial concern is correct, and that I find would work much better here than I have found.