Concurrent HashSet in .NET Framework?

Your implementation is correct. The .NET Framework does not provide a built-in concurrent hashset type, unfortunately. However, there are some workarounds.

ConcurrentDictionary (recommended)

This first one is to use the class ConcurrentDictionary<TKey, TValue> in the namespace System.Collections.Concurrent. In the case, the value is pointless, so we can use a simple byte (1 byte in memory).

private ConcurrentDictionary<string, byte> _data;

This is the recommended option because the type is thread-safe and provide you the same advantages than a HashSet<T> except key and value are different objects.

Source: Social MSDN

ConcurrentBag

If you don’t mind about the duplicate entries, you can use the class ConcurrentBag<T> in the same namespace of the previous class.

private ConcurrentBag<string> _data;

Self-implementation

Finally, as you did, you can implement your own data type, using lock or other ways that the .NET provides you to be thread-safe. Here is a great example: How to implement ConcurrentHashSet in .Net

The only drawback of this solution is that the type HashSet<T> doesn’t officially concurrent access, even for reading operations.

I quote the code of the linked post (originally written by Ben Mosher).

using System;
using System.Collections.Generic;
using System.Threading;

namespace BlahBlah.Utilities
{
    public class ConcurrentHashSet<T> : IDisposable
    {
        private readonly ReaderWriterLockSlim _lock = new ReaderWriterLockSlim(LockRecursionPolicy.SupportsRecursion);
        private readonly HashSet<T> _hashSet = new HashSet<T>();

        #region Implementation of ICollection<T> ...ish
        public bool Add(T item)
        {
            _lock.EnterWriteLock();
            try
            {
                return _hashSet.Add(item);
            }
            finally
            {
                if (_lock.IsWriteLockHeld) _lock.ExitWriteLock();
            }
        }

        public void Clear()
        {
            _lock.EnterWriteLock();
            try
            {
                _hashSet.Clear();
            }
            finally
            {
                if (_lock.IsWriteLockHeld) _lock.ExitWriteLock();
            }
        }

        public bool Contains(T item)
        {
            _lock.EnterReadLock();
            try
            {
                return _hashSet.Contains(item);
            }
            finally
            {
                if (_lock.IsReadLockHeld) _lock.ExitReadLock();
            }
        }

        public bool Remove(T item)
        {
            _lock.EnterWriteLock();
            try
            {
                return _hashSet.Remove(item);
            }
            finally
            {
                if (_lock.IsWriteLockHeld) _lock.ExitWriteLock();
            }
        }

        public int Count
        {
            get
            {
                _lock.EnterReadLock();
                try
                {
                    return _hashSet.Count;
                }
                finally
                {
                    if (_lock.IsReadLockHeld) _lock.ExitReadLock();
                }
            }
        }
        #endregion

        #region Dispose
        public void Dispose()
        {
            Dispose(true);
            GC.SuppressFinalize(this);
        }
        protected virtual void Dispose(bool disposing)
        {
            if (disposing)
                if (_lock != null)
                    _lock.Dispose();
        }
        ~ConcurrentHashSet()
        {
            Dispose(false);
        }
        #endregion
    }
}

EDIT: Move the entrance lock methods ouside the try blocks, as they could throw an exception and execute the instructions contained in the finally blocks.