Although the answer given by @Tuấn Nguyễn works yet it is not advisable to do so.
As per MS docs
https://marketplace.visualstudio.com/items?itemName=ms-vscode.vscode-typescript-tslint-plugin, this answer will replace the global TS lint configuration defined with the local one, which one can manipulate easily and its not recommended due to security reasons as well.
Screenshot:

Recommended Approach:
As per MS Docs, https://code.visualstudio.com/api/advanced-topics/tslint-eslint-migration, updated recently (12/11/2020), you should migrate from TSLint to ESLint.
This might be the reason that everyone is looking for the fix, as needful things were done by MS recently. :)
Steps:
npm install --save-dev eslint @typescript-eslint/parser @typescript-eslint/eslint-plugin (Install ESlint and TSLint)
npx tslint-to-eslint-config (This will install utility tool and make configuration easier. Post install a new .eslintrc.js will be created. There will be changes to .vscode/settings.json as well.)
- Disable/Uninstall TS lint from your VS Code.
- You can then, place a script in your package.json file as -
"lint": "eslint -c .eslintrc.js --ext .ts <mySrcFolder>". (This will tell ESLint to look for TSLint)
But, you should probably look once, over steps in link more vividly, in order to follow steps correctly and accordingly.