You derived
$33a = a(a^2 - d^2) = a(a-d)(a+d)$
But before we divide both sides by $a$, we must consider that $a$ may equal $0$.
So Case 1: If $a = 0$.
1) $a = 0; d\in \mathbb Z$. And $(-k, 0 , k)$ are solutions. (Trivial solutions)
Those are infinite number of solutions.
Cases 2-???: $a \ne 0$.
Then we can divide both sides by $a$.
2) $a \ne 0$ and $(a-d)(a+d) = 33$
So $a-d$ and $a+d$ are two factors of $33$. $33 = 3*11$ has as factors $\pm 1, \pm 3, \pm 11, \pm 33$.
So we have eight case all very similar:
a) $a + d = 1$ and $a-d = 33$. So $a= 17$ and $d= -16$ and the numbers are $1, 17, 33$.
b) $a + d = 33$ and $a - d = 1$. So $a = 17$ and $d = 16$ and the numbers are $1, 17, 33$.
and ...
this is too tedious to spell out. We know that the pair $(a+d)$ and $(a-d)$ will be one of these pairs $(1, 33) , (-1, -33), (3,33)(-3,-33)$ and $a$ will be the number in the middle. And we know that solving it for negative numbers will be the same as solving it for positive numbers.
So we have the numbers are:
$$1, 17, 33$$
$$-1, -17,-33$$
$$3,7, 11$$
$$-3, -7, -11$$.
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Note, if "consecutive" integers mean $k, k+1, k+2$ i.e. with period specifically $1$, which is often (but not always) implied. Then $(-1, 0 , 1)$ is the only solution.